BLACKROCK CALIFORNIA MUNICIPAL INCOME TRUST

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-10331

Name of Fund:  BlackRock California Municipal Income Trust (BFZ)

Fund Address:  100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock California

Municipal Income Trust, 55 East 52nd Street, New York, NY 10055

Registrant’s telephone number, including area code: (800) 882-0052, Option 4

Date of fiscal year end: 07/31/2017

Date of reporting period: 01/31/2017


Item 1 – Report to Stockholders


JANUARY 31, 2017

 

 

SEMI-ANNUAL REPORT (UNAUDITED)

 

    LOGO

 

BlackRock California Municipal Income Trust (BFZ)

BlackRock Florida Municipal 2020 Term Trust (BFO)

BlackRock Municipal 2030 Target Term Trust (BTT)

BlackRock Municipal Income Investment Trust (BBF)

BlackRock New Jersey Municipal Income Trust (BNJ)

BlackRock New York Municipal Income Trust (BNY)

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


The Markets in Review

 

Dear Shareholder,

The 12 months ended January 31, 2017 was an exceptionally strong period for risk assets (such as stocks and high yield bonds), while higher-quality assets generated muted returns after struggling in the latter part of 2016. As the period began, worries about slowing growth in China and the instability of oil prices had global equity prices sliding. However, the broad market momentum shifted in the second half of 2016 as reflationary expectations in the United States helped drive a pick-up in global growth.

Markets were remarkably resilient during the period. Big surprises such as the United Kingdom’s vote to leave the European Union and the outcome of the U.S. presidential election brought spikes in equity market volatility, but they were ultimately short-lived. Instead, investors used the sell-offs to seize upon buying opportunities, allowing markets to quickly rebound. We believe this reinforces the case for taking the long view rather than reacting to short-term market noise.

The global reflationary theme — rising nominal growth, wages and inflation — was the dominant driver of asset returns during the period, outweighing significant political upheavals and uncertainty. This trend accelerated after the U.S. election and continued into the beginning of 2017, stoked by expectations for an extra boost to U.S. growth via fiscal policy.

Although economic momentum is gaining traction, the capacity for rapid global growth is restrained by structural factors including an aging population, low productivity growth and excess savings. A tempered economic growth trend and high valuations across most assets have set the stage for muted investment returns going forward.

Equity markets still have room to move, although the disparity between winners and losers is widening, making stock selection increasingly important. Fixed income investors are also facing challenges as bond markets recalibrate to accommodate rising rates and higher inflation expectations. And in a world where political risk and policy uncertainty abound, there is no lack of potential catalysts for higher volatility.

In this environment, investors need to think globally, extend their scope across a broad array of asset classes and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of January 31, 2017  
    6-month     12-month  

U.S. large cap equities
(S&P 500® Index)

    5.96     20.04

U.S. small cap equities
(Russell 2000® Index)

    12.43       33.53  

International equities
(MSCI Europe, Australasia,
Far East Index)

    3.49       12.03  

Emerging market equities
(MSCI Emerging Markets Index)

    4.92       25.41  

3-month Treasury bills
(BofA Merrill Lynch 3-Month
U.S. Treasury Bill Index)

    0.20       0.37  

U.S. Treasury securities
(BofA Merrill Lynch
10-Year U.S. Treasury
Index)

    (7.87     (3.26

U.S. investment grade bonds
(Bloomberg Barclays U.S.
Aggregate Bond Index)

    (2.95     1.45  

Tax-exempt municipal
bonds (S&P Municipal
Bond Index)

    (2.94     0.24  

U.S. high yield bonds
(Bloomberg Barclays U.S. Corporate High Yield 2% Issuer
Capped Index)

    6.09       20.77  
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.  

 

                
2    THIS PAGE NOT PART OF YOUR FUND REPORT      


Table of Contents     

 

     Page  

The Markets in Review

    2  

Semi-Annual Report:

 

Municipal Market Overview

    4  

The Benefits and Risks of Leveraging

    5  

Derivative Financial Instruments

    5  

Trust Summaries

    6  
Financial Statements:  

Schedules of Investments

    18  

Statements of Assets and Liabilities

    50  

Statements of Operations

    52  

Statements of Changes in Net Assets

    54  

Statements of Cash Flows

    57  

Financial Highlights

    58  

Notes to Financial Statements

    64  

Officers and Trustees

    76  

Additional Information

    77  

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    3


Municipal Market Overview     

 

For the Reporting Period Ended January 31, 2017

Municipal Market Conditions

Municipal bonds generated modestly positive performance for the period, in spite of vastly rising interest rates as a result of generally stronger economic data, signs of inflation pressures, Fed monetary policy normalization, and market expectations for pro-growth fiscal policy. However, ongoing reassurance from the Fed that rates would be increased gradually and would likely remain low overall resulted in strong demand for fixed income investments. Investors favored the income, relative yield, and stability of municipal bonds amid bouts of interest rate volatility (bond prices rise as rates fall) resulting from the United Kingdom’s decision to leave the European Union, the contentious U.S. election, and widening central bank divergence — i.e., policy easing outside the United States while the Fed slowly commences policy tightening. During the 12 months ended January 31, 2017, municipal bond funds garnered net inflows of approximately $24 billion (based on data from the Investment Company Institute).

For the same 12-month period, total new issuance remained robust from a historical perspective at $451 billion (significantly above the $394 billion issued in the prior 12-month period). A noteworthy portion of new supply during this period was attributable to refinancing activity (roughly 60%) as issuers continued to take advantage of low interest rates and a flatter yield curve to reduce their borrowing costs.

S&P Municipal Bond Index

Total Returns as of January 31, 2017

  6 months: (2.94)%

12 months: 0.24%

A Closer Look at Yields

 

LOGO

From January 31, 2016 to January 31, 2017, yields on AAA-rated 30-year municipal bonds increased by 33 basis points (“bps”) from 2.75% to 3.08%, while 10-year rates rose by 61 bps from 1.71% to 2.32% and 5-year rates increased 63 bps from 1.00% to 1.63% (as measured by Thomson Municipal Market Data). The municipal yield curve modestly flattened over the 12-month period with the spread between 2- and 30-year maturities flattening by 9 bps and the spread between 10- and 30-year maturities flattening by 28 bps.

During the same time period, on a relative basis, tax-exempt municipal bonds broadly underperformed U.S. Treasuries with the greatest underperformance experienced in the intermediate part of the yield curve. In absolute terms, the positive performance of municipal bonds was driven largely by a supply/demand imbalance within the municipal market as investors sought income and incremental yield in an environment where opportunities became increasingly scarce. More broadly, municipal bonds came under pressure post the November U.S. election, erasing a bulk of year-to-date performance and influencing a strong pattern of mutual fund inflows to turn negative in the closing months of the period. The asset class is known for its lower relative volatility and preservation of principal with an emphasis on income as tax rates rise.

Financial Conditions of Municipal Issuers

The majority of municipal credits remain strong, despite well-publicized distress among a few issuers. Four of the five states with the largest amount of debt outstanding — California, New York, Texas and Florida — have exhibited markedly improved credit fundamentals during the slow national recovery. However, several states with the largest unfunded pension liabilities have seen their bond prices decline noticeably and remain vulnerable to additional price deterioration. On the local level, Chicago’s credit quality downgrade is an outlier relative to other cities due to its larger pension liability and inadequate funding remedies. BlackRock maintains the view that municipal bond defaults will remain minimal and in the periphery while the overall market is fundamentally sound. We continue to advocate careful credit research and believe that a thoughtful approach to structure and security selection remains imperative amid uncertainty in a modestly improving economic environment.

The opinions expressed are those of BlackRock as of January 31, 2017, and are subject to change at any time due to changes in market or economic conditions. The comments should not be construed as a recommendation of any individual holdings or market sectors. Investing involves risk including loss of principal. Bond values fluctuate in price so the value of your investment can go down depending on market conditions. Fixed income risks include interest-rate and credit risk. Typically, when interest rates rise, there is a corresponding decline in bond values. Credit risk refers to the possibility that the bond issuer will not be able to make principal and interest payments. There may be less information on the financial condition of municipal issuers than for public corporations. The market for municipal bonds may be less liquid than for taxable bonds. Some investors may be subject to Alternative Minimum Tax (AMT). Capital gains distributions, if any, are taxable.

The Standard & Poor’s Municipal Bond Index, a broad, market value-weighted index, seeks to measure the performance of the U.S. municipal bond market. All bonds in the index are exempt from U.S. federal income taxes or subject to the alternative minimum tax. Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. It is not possible to invest directly in an index.

 

 

                
4    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


The Benefits and Risks of Leveraging     

 

 

The Trusts may utilize leverage to seek to enhance the distribution rate on, and net asset value (“NAV”) of, their common shares (“Common Shares”). However, these objectives cannot be achieved in all interest rate environments.

In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by a Trust on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of the Trusts (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Trusts’ shareholders benefit from the incremental net income. The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the per share NAV.

To illustrate these concepts, assume a Trust’s Common Shares capitalization is $100 million and it utilizes leverage for an additional $30 million, creating a total value of $130 million available for investment in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, a Trust’s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by a Trust with the proceeds from leverage earn income based on longer-term interest rates. In this case, a Trust’s financing cost of leverage is significantly lower than the income earned on a Trust’s longer-term investments acquired from leverage proceeds, and therefore the holders of Common Shares (“Common Shareholders”) are the beneficiaries of the incremental net income.

However, in order to benefit Common Shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed the Trusts’ return on assets purchased with leverage proceeds, income to shareholders is lower than if the Trusts had not used leverage. Furthermore, the value of the Trusts’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the value of the Trusts’ obligations under their respective leverage arrangements generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Trusts’ NAVs positively or negatively. Changes in the future direction of interest rates are very diffi-

cult to predict accurately, and there is no assurance that a Trust’s intended leveraging strategy will be successful.

The use of leverage also generally causes greater changes in each Trust’s NAV, market price and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV and market price of a Trust’s Common Shares than if the Trust were not leveraged. In addition, each Trust may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Trusts to incur losses. The use of leverage may limit a Trust’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Trust incurs expenses in connection with the use of leverage, all of which are borne by Common Shareholders and may reduce income to the Common Shares. Moreover, to the extent the calculation of the Trusts’ investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to the Trusts’ investment adviser will be higher than if the Trusts did not use leverage.

To obtain leverage, each Trust has issued Variable Rate Demand Preferred Shares (“VRDP Shares”), Variable Rate Muni Term Preferred Shares (“VMTP Shares”) and Remarketable Variable Rate Muni Term Preferred Shares (“RVMTP Shares”) (collectively, “Preferred Shares”) and/or leveraged its assets through the use of tender option bond trusts (“TOB Trusts”) as described in the Notes to Financial Statements.

Under the Investment Company Act of 1940, as amended (the “1940 Act”), each Trust is permitted to issue debt up to 33 1/3% of its total managed assets or equity securities (e.g., Preferred Shares) up to 50% of its total managed assets. A Trust may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In addition, a Trust may also be subject to certain asset coverage, leverage or portfolio composition requirements imposed by the Preferred Shares’ governing instruments or by agencies rating the Preferred Shares, which may be more stringent than those imposed by the 1940 Act.

If a Trust segregates or designates on its books and records cash or liquid assets having a value not less than the value of a Trust’s obligations under the TOB Trust (including accrued interest), a TOB Trust is not considered a senior security and is not subject to the foregoing limitations and requirements under the 1940 Act.

 

 

Derivative Financial Instruments     

 

The Trusts may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other asset without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the

transaction or illiquidity of the instrument. The Trusts’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Trust can realize on an investment and/or may result in lower distributions paid to shareholders. The Trusts’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

 

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    5


Trust Summary as of January 31, 2017    BlackRock California Municipal Income Trust

 

Trust Overview

BlackRock California Municipal Income Trust’s (BFZ) (the “Trust”) investment objective is to provide current income exempt from regular U.S. federal income and California income taxes. The Trust seeks to achieve its investment objective by investing primarily in municipal obligations exempt from U.S. federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and California income taxes. The Trust invests, under normal market conditions, at least 80% of its assets in municipal obligations that are investment grade quality, or are considered by the Trust’s adviser to be of comparable quality, at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objective will be achieved.

 

Trust Information      

Symbol on New York Stock Exchange (“NYSE”)

   BFZ

Initial Offering Date

   July 27, 2001

Yield on Closing Market Price as of January 31, 2017 ($14.94)1

   5.40%

Tax Equivalent Yield2

   11.00%

Current Monthly Distribution per Common Share3

   $0.0672

Current Annualized Distribution per Common Share3

   $0.8064

Economic Leverage as of January 31, 20174

   42%

 

  1   

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

  2   

Tax equivalent yield assumes the maximum marginal federal and state tax rate of 50.93%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  3   

The monthly distribution per Common Share, declared on March 1, 2017, was decreased to $0.0595 per share. The yield on closing market price, current monthly distribution per Common Share and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.

 

  4   

Represents VMTP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance      

Returns for the six months ended January 31, 2017 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BFZ1,2

    (8.48 )%      (5.31 )% 

Lipper California Municipal Debt Funds3

    (8.72 )%      (5.28 )% 

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

The Trust moved from a premium to NAV to a discount during the period, which accounts for the difference between performance based on price and performance based on NAV.

 

  3   

Average return.

 

      Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Municipal bonds lost ground in the six-month reporting period. After producing slightly positive returns in August, municipal bonds began to move lower in September and October due to a pick-up in new tax-exempt issuance and rising yields in the U.S. Treasury market. (Prices and yields move in opposite directions.) The weakness accelerated in November once Donald Trump’s election victory caused investors to adjust their expectations in favor of stronger growth and tighter Fed policy. The municipal market subsequently stabilized and retraced some of its losses in December and January as the relative attractiveness of the asset class brought in new investors, but the modest rally was insufficient to make up for the earlier downturn.

 

 

California underperformed the national tax-exempt market, reflecting an unwinding of previously tight credit spreads for state and local issues, together with a larger calendar of new issuance. Despite the after-tax value provided by California muni bonds for retail investors subject to the state’s high tax brackets, California funds were not immune to the redemptions experienced by both the general market and high-yield products in the latter part of the period.

 

 

The Trust’s positions on the long end of the yield curve detracted from performance in the environment of rising yields. In addition, positions in lower-rated investment-grade (such as those rated A and BBB) fared worse than high-grade securities as credit spreads widened.

 

 

All sectors experienced negative returns in the period, but the Trust’s positions in health care suffered the weakest performance due to uncertainty surrounding the future of the Affordable Care Act. The Trust’s use of leverage, which amplifies the effect of interest rate movements, also detracted.

 

 

On the positive side, the Trust’s holdings in shorter duration securities held up relatively well during periods of market volatility. (Duration is a measure of interest rate sensitivity.) The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that Treasury yields rose as prices fell, this aspect of the Trust’s positioning had a positive effect on returns.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

                
6    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


     BlackRock California Municipal Income Trust

 

 

Market Price and Net Asset Value Per Share Summary                              

 

      1/31/17      7/31/16      Change      High      Low  

Market Price

   $ 14.94      $ 16.76        (10.86 )%     $ 16.98      $ 14.09  

Net Asset Value

   $ 15.08      $ 16.35        (7.77 )%     $ 16.35      $ 14.70  

 

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation   1/31/17     7/31/16  

County/City/Special District/School District

    30     29

Utilities

    19       23  

Education

    13       15  

Transportation

    13       9  

Health

    12       12  

State

    9       9  

Tobacco

    4       3  

Housing2

           

For Trust compliance purposes, the Trust’s sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

   
Call/Maturity Schedule3       

Calendar Year Ended December 31,
2017

    6

2018

    11  

2019

    24  

2020

    4  

2021

    11  

 

  3   

Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

 

  *   Excludes short-term securities.
Credit Quality Allocation1   1/31/17     7/31/16  

AAA/Aaa

    7     6

AA/Aa

    74       77  

A

    15       14  

BBB/Baa2

           

BB/Ba

          1  

B

    3       1  

N/R

    1       1  

 

  1   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service (“Moody’s”) if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

  2   

Represents less than 1% of the Trust’s total investments.

 

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    7


Trust Summary as of January 31, 2017    BlackRock Florida Municipal 2020 Term Trust

 

Trust Overview

BlackRock Florida Municipal 2020 Term Trust’s (BFO) (the “Trust”) investment objectives are to provide current income exempt from regular U.S. federal income tax and Florida intangible personal property tax and to return $15.00 per common share (the initial offering price per share) to holders of common shares on or about December 31, 2020. The Trust seeks to achieve its investment objectives by investing at least 80% of its assets in municipal bonds exempt from U.S. federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and Florida intangible personal property tax. The Trust invests at least 80% of its assets in municipal bonds that are investment grade quality, or are considered by the Trust’s adviser to be of comparable quality, at the time of investment. The Trust actively manages the maturity of its bonds to seek to have a dollar-weighted average effective maturity approximately equal to the Trust’s maturity date. The Trust may invest directly in such securities or synthetically through the use of derivatives. Effective January 1, 2007, the Florida intangible personal property tax was repealed.

There is no assurance that the Trust will achieve its investment objective of returning $15.00 per share.

 

Trust Information      

Symbol on NYSE

   BFO

Initial Offering Date

   September 30, 2003

Termination Date (on or about)

   December 31, 2020

Yield on Closing Market Price as of January 31, 2017 ($15.07)1

   2.47%

Tax Equivalent Yield2

   4.36%

Current Monthly Distribution per Common Share3

   $0.031

Current Annualized Distribution per Common Share3

   $0.372

Economic Leverage as of January 31, 20174

  

 

  1   

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

  2   

Tax equivalent yield assumes the maximum marginal federal tax rate of 43.4%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  3   

The distribution rate is not constant and is subject to change.

 

  4   

Percentage is less than 1% which represents TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance      

Returns for the six months ended January 31, 2017 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BFO1,2

    0.30     (1.51 )% 

Lipper Other States Municipal Debt Funds3

    (8.44 )%      (5.37 )% 

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on price and performance based on NAV.

 

  3   

Average return.

 

      Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Municipal bonds lost ground in the six-month reporting period. After producing slightly positive returns in August, municipal bonds began to move lower in September and October due to a pick-up in new tax-exempt issuance and rising yields in the U.S. Treasury market. (Prices and yields move in opposite directions.) The weakness accelerated in November once Donald Trump’s election victory caused investors to adjust their expectations in favor of stronger growth and tighter Fed policy. The municipal market subsequently stabilized and retraced some of its losses in December and January as the relative attractiveness of the asset class brought in new investors, but the modest rally was insufficient to make up for the earlier downturn.

 

 

Florida municipal bonds outperformed the national market. The state’s strong economic momentum contributed to a higher average credit quality for its municipal market, which was a tailwind at a time in which lower-quality issues underperformed.

 

 

The Trust is scheduled to mature on or about December 31, 2020, and it therefore holds securities that will mature close to that date. As a result of its shorter duration (interest-rate sensitivity), the Trust held up well in the environment of falling yields and underperformance for longer-term issues.

 

 

At the sector level, the health care and utilities sectors represented the largest detractors from performance due to their higher weightings. The Trust’s more-seasoned holdings, while producing generous yields compared to current market rates, detracted. The prices of many of these investments declined due to the premium amortization that occurred as the bonds approached their first call dates. (A call is when an issuer redeems a bond prior to its maturity date; premium is amount by which a bond trades above its $100 par value.)

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

                
8    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


     BlackRock Florida Municipal 2020 Term Trust

 

 

Market Price and Net Asset Value Per Share Summary                              

 

      1/31/17      7/31/16      Change      High      Low  

Market Price

     $15.07        $15.21        (0.92)%        $15.37        $14.85  

Net Asset Value

     $15.08        $15.50        (2.71)%        $15.50        $14.98  

 

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation   1/31/17     7/31/16  

County/City/Special District/School District

    35     34

Health

    18       18  

Utilities

    15       16  

State

    12       12  

Transportation

    11       11  

Education

    4       4  

Corporate

    4       4  

Housing

    1       1  

For Trust compliance purposes, the Trust’s sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

   
Call/Maturity Schedule4       

Calendar Year Ended December 31,

 

2017

    12

2018

    10  

2019

    11  

2020

    57  

2021

    1  

 

  4  

Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

 

  *   Excludes short-term securities.
Credit Quality Allocation1   1/31/17     7/31/16  

AAA/Aaa

    1     1

AA/Aa

    59       59  

A

    25       25  

BBB/Baa

    2       

N/R3

    15       15  

 

  1   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

  2   

Represents less than 1% of the Trust’s total investments.

 

  3   

The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of January 31, 2017 and July 31, 2016, the market value of unrated securities deemed by the investment adviser to be investment grade represents 4% and 13%, respectively, of the Trust’s total investments.

 

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    9


Trust Summary as of January 31, 2017    BlackRock Municipal 2030 Target Term Trust

 

Trust Overview

BlackRock Municipal 2030 Target Term Trust’s (BTT) (the “Trust”) investment objectives are to provide current income exempt from regular U.S. federal income tax (but which may be subject to the federal alternative minimum tax in certain circumstances) and to return $25.00 per common share (the initial offering price per share) to holders of common shares on or about December 31, 2030. The Trust seeks to achieve its investment objectives by investing at least 80% of its assets in municipal bonds exempt from U.S. federal income taxes (except that the interest may be subject to the federal alternative minimum tax). The Trust invests at least 80% of its assets in municipal bonds that are investment grade quality, or are considered by the Trust’s adviser to be of comparable quality, at the time of investment. The Trust actively manages the maturity of its bonds to seek to have a dollar weighted average effective maturity approximately equal to the Trust’s maturity date. The Trust may invest directly in such securities or synthetically through the use of derivatives.

There is no assurance that the Trust will achieve its investment objective of returning $25.00 per share.

 

Trust Information      

Symbol on NYSE

   BTT

Initial Offering Date

   August 30, 2012

Termination Date (on or about)

   December 31, 2030

Current Distribution Rate on Closing Market Price as of January 31, 2017 ($22.76)1

   4.22%

Tax Equivalent Rate2

   7.46%

Current Monthly Distribution per Common Share3

   $0.08

Current Annualized Distribution per Common Share3

   $0.96

Economic Leverage as January 31, 20174

   37%

 

  1   

Current Distribution Rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. See the financial highlights for the actual sources and character of distributions. Past performance does not guarantee future results.

 

  2   

Tax equivalent yield assumes the maximum marginal federal tax rate of 43.4%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  3   

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain at fiscal year end.

 

  4   

Represents RVMTP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to RVMTP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance      

Returns for the six months ended January 31, 2017 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BTT1,2

    (4.13 )%      (8.19 )% 

Lipper General & Insured Municipal Debt Funds (Leveraged)3

    (7.34 )%      (5.63 )% 

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

The Trust’s discount to NAV narrowed during the period, which accounts for the difference between performance based on price and performance based on NAV.

 

  3   

Average return.

 

      Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Municipal bonds lost ground in the six-month reporting period. After producing slightly positive returns in August, municipal bonds began to move lower in September and October due to a pick-up in new tax-exempt issuance and rising yields in the U.S. Treasury market. (Prices and yields move in opposite directions.) The weakness accelerated in November once Donald Trump’s election victory caused investors to adjust their expectations in favor of stronger growth and tighter Fed policy. The municipal market subsequently stabilized and retraced some of its losses in December and January as the relative attractiveness of the asset class brought in new investors, but the modest rally was insufficient to make up for the earlier downturn.

 

 

At the sector level, the health care and transportation sectors represented the largest detractors from performance due to their higher weightings.

 

 

The Trust’s longer duration profile was a negative for performance as rates were higher across the yield curve. (Duration is a measure of interest rate sensitivity.)

 

 

To the extent that the Trust held zero coupon bonds, these positions detracted since the bonds’ longer duration accentuated the negative price performance in a down market. Reinvestment was a further drag on results, as the proceeds of higher-yielding bonds that matured or were called needed to be reinvested at materially lower prevailing rates.

 

 

The Trust continued to employ leverage in order to increase portfolio income. Since leverage also amplifies the effect of market movements, it was a net detractor from performance at a time of falling prices.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

                
10    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


     BlackRock Municipal 2030 Target Term Trust

 

 

Market Price and Net Asset Value Per Share Summary

 

      1/31/17      7/31/16      Change      High      Low  

Market Price

   $ 22.76      $ 24.24        (6.11 )%     $ 24.40      $ 21.09  

Net Asset Value

   $ 22.82      $ 25.38        (10.09 )%     $ 25.38      $ 22.21  

 

Market Price and Net Asset Value History Since Inception

 

LOGO

 

  1   

Commencement of operations.

 

Overview of the Trust’s Total Investments*

 

Sector Allocation   1/31/17     7/31/16  

Transportation

    23     23

Health

    21       17  

Education

    15       14  

County/City/Special District/School District

    15       17  

State

    10       11  

Corporate

    8       8  

Utilities

    5       7  

Tobacco

    2       2  

Housing

    1       1  

For Trust compliance purposes, the Trust’s sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

   
Call/Maturity Schedule3       

Calendar Year Ended December 31,
2017

    1

2018

    1  

2019

    1  

2020

    4  

2021

    1  

 

  3  

Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

 

  *   Excludes short-term securities.
Credit Quality Allocation1   1/31/17     7/31/16  

AAA/Aaa

    3     5

AA/Aa

    29       24  

A

    41       39  

BBB/Baa

    14       18  

BB/Ba

    2       3  

B

    2       2  

N/R2

    9       9  

 

  1   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

  2   

The investment advisor evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of January 31, 2017 and July 31, 2016, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1% and 2%, respectively, of the Trust’s total investments.

 

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    11


Trust Summary as of January 31, 2017    BlackRock Municipal Income Investment Trust

 

Trust Overview

BlackRock Municipal Income Investment Trust’s (BBF) (the “Trust”) investment objective is to provide current income exempt from regular U.S. federal income tax. The Trust seeks to achieve its investment objective by investing at least 80% of its assets in municipal bonds, the interest of which is exempt from U.S. federal income taxes. The Trust invests at least 80% of its assets in municipal bonds that are investment grade quality, or are considered by the Trust’s adviser to be of comparable quality, at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objective will be achieved.

 

Trust Information      

Symbol on NYSE

   BBF

Initial Offering Date

   July 27, 2001

Yield on Closing Market Price as of January 31, 2017 ($14.53)1

   5.98%

Tax Equivalent Yield2

   10.57%

Current Monthly Distribution per Common Share3

   $0.072375

Current Annualized Distribution per Common Share3

   $0.868500

Economic Leverage as of January 31, 20174

   41%

 

  1   

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

  2   

Tax equivalent yield assumes the maximum marginal federal tax rate of 43.4%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  3   

The distribution rate is not constant and is subject to change.

 

  4   

Represents VRDP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VRDP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance      

Returns for the six months ended January 31, 2017 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BBF1,2

    (6.45 )%      (4.51 )% 

Lipper General & Insured Municipal Debt Funds (Leveraged)3

    (7.34 )%      (5.63 )% 

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

The Trust’s premium to NAV narrowed during the period, which accounts for the difference between performance based on price and performance based on NAV.

 

  3   

Average return.

 

      Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Municipal bonds lost ground in the six-month reporting period. After producing slightly positive returns in August, municipal bonds began to move lower in September and October due to a pick-up in new tax-exempt issuance and rising yields in the U.S. Treasury market. (Prices and yields move in opposite directions.) The weakness accelerated in November once Donald Trump’s election victory caused investors to adjust their expectations in favor of stronger growth and tighter Fed policy. The municipal market subsequently stabilized and retraced some of its losses in December and January as the relative attractiveness of the asset class brought in new investors, but the modest rally was insufficient to make up for the earlier downturn.

 

 

Positions in bonds with longer maturities declined the most in value since they typically have longer durations (above-average interest rate sensitivity). The Trust’s exposure to issues with 4% coupons also detracted from results, as lower coupons generally underperform in rising rate environments.

 

 

From a sector allocation perspective, the Trust’s exposure to the transportation and tax-backed (state) sectors were the largest detractors.

 

 

Portfolio income, which was enhanced by the Trust’s use of leverage, made a positive contribution during a period of falling prices. However, leverage also served to accentuate the price declines associated with rising yields.

 

 

Positions in high-quality, short-duration bonds — such as pre-refunded securities — held up relatively well in the down market due to their lower interest rate sensitivity. The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that Treasury yields rose as prices fell, this aspect of the Trust’s positioning had a positive effect on returns.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

                
12    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


     BlackRock Municipal Income Investment Trust

 

 

Market Price and Net Asset Value Per Share Summary

 

      1/31/17      7/31/16      Change      High      Low  

Market Price

   $ 14.53      $ 16.00        (9.19 )%     $ 16.16      $ 13.46  

Net Asset Value

   $ 14.34      $ 15.47        (7.30 )%     $ 15.47      $ 14.14  

 

Market Price and Net Asset Value History For the Past Five Years      

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation   1/31/17     7/31/16  

County/City/Special District/School District

    21     24

Transportation

    21       22  

Health

    15       13  

Utilities

    15       16  

Education

    12       11  

State

    10       9  

Tobacco

    4       3  

Corporate

    1       1  

Housing

    1       1  

For Trust compliance purposes, the Trust’s sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

   
Call/Maturity Schedule3       

Calendar Year Ended December 31,
2017

    2

2018

    14  

2019

    31  

2020

    11  

2021

    14  

 

  3   

Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

 

  *   Excludes short-term securities.
Credit Quality Allocation1   1/31/17     7/31/16  

AAA/Aaa

    10     11

AA/Aa

    50       52  

A

    23       23  

BBB/Baa

    9       9  

BB/Ba

    2       1  

B

    1       1  

N/R2

    5       3  

 

  1   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

  2   

The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of January 31, 2017 and July 31, 2016, the market value of unrated securities deemed by the investment advisor to be investment grade each represents less than 1% of the Trust’s total investments.

 

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    13


Trust Summary as of January 31, 2017    BlackRock New Jersey Municipal Income Trust

 

Trust Overview

BlackRock New Jersey Municipal Income Trust’s (BNJ) (the “Trust”) investment objective is to provide current income exempt from regular U.S. federal income tax and New Jersey gross income tax. The Trust seeks to achieve its investment objective by investing primarily in municipal bonds exempt from U.S. federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and New Jersey gross income taxes. The Trust invests at least 80% of its assets in municipal bonds that are investment grade quality, or are considered by the Trust’s adviser to be of comparable quality, at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objective will be achieved.

 

Trust Information      

Symbol on NYSE

   BNJ

Initial Offering Date

   July 27, 2001

Yield on Closing Market Price as of January 31, 2017 ($14.77)1

   5.65%

Tax Equivalent Yield2

   10.97%

Current Monthly Distribution per Common Share3

   $0.0696

Current Annualized Distribution per Common Share3

   $0.8352

Economic Leverage as of January 31, 20174

   40%

 

  1   

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

  2   

Tax equivalent yield assumes the maximum marginal federal and state tax rate of 48.48%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  3   

The distribution rate is not constant and is subject to change.

 

  4   

Represents VMTP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance      

Returns for the six months ended January 31, 2017 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BNJ1,2

    (9.58 )%      (6.43 )% 

Lipper New Jersey Municipal Debt Funds3

    (9.68 )%      (6.06 )% 

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

The Trust moved from a premium to NAV to a discount during the period, which accounts for the difference between performance based on price and performance based on NAV.

 

  3  

Average return.

 

      Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Municipal bonds lost ground in the six-month reporting period. After producing slightly positive returns in August, municipal bonds began to move lower in September and October due to a pick-up in new tax-exempt issuance and rising yields in the U.S. Treasury market. (Prices and yields move in opposite directions.) The weakness accelerated in November once Donald Trump’s election victory caused investors to adjust their expectations in favor of stronger growth and tighter Fed policy. The municipal market subsequently stabilized and retraced some of its losses in December and January as the relative attractiveness of the asset class brought in new investors, but the modest rally was insufficient to make up for the earlier downturn.

 

 

New Jersey underperformed the broader U.S. municipal bond market. The state’s credit rating remained under pressure due to continuing budgetary issues, lagging job growth versus the national averages, continued population out-migration and concerns about its pension-funding difficulties.

 

 

At the sector level, exposure to the state tax-backed, transportation and education sectors detracted from performance. Holdings in longer-duration bonds, which were more sensitive to rising yields, also detracted. (Duration is a measure of interest-rate sensitivity.) Credit spreads widened during the period, so the Trust’s holdings in lower-rated investment-grade bonds were a further detractor.

 

 

Portfolio income, which was enhanced by the Trust’s use of leverage, made a positive contribution during a period of falling prices. However, leverage also served to accentuate the price declines associated with rising yields.

 

 

At a time when lower-quality, longer-dated bonds experienced the largest underperformance, the Trust’s positions in high-quality, short-dated issues performed relatively well and helped mitigate the impact of the market decline. The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that Treasury yields rose as prices fell, this aspect of the Trust’s positioning had a positive effect on returns.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

                
14    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


     BlackRock New Jersey Municipal Income Trust

 

 

Market Price and Net Asset Value Per Share Summary

 

      1/31/17      7/31/16      Change      High      Low  

Market Price

   $ 14.77      $ 16.79        (12.03 )%     $ 16.94      $ 14.12  

Net Asset Value

   $ 14.94      $ 16.41        (8.96 )%     $ 16.44      $ 14.76  

 

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation   1/31/17     7/31/16  

Transportation

    35     33

County/City/Special District/School District

    22       23  

Education

    17       17  

State

    9       12  

Health

    8       5  

Corporate

    6       6  

Housing

    2       3  

Utilities

    1       1  

For Trust compliance purposes, the Trust’s sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

   
Call/Maturity Schedule3       

2017

    4

2018

    11  

2019

    10  

2020

    6  

2021

    18  

 

  3   

Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

 

  *   Excludes short-term securities.
Credit Quality Allocation1   1/31/17     7/31/16  

AAA/Aaa

    1     1

AA/Aa

    44       45  

A

    36       34  

BBB/Baa

    10       10  

BB/Ba

    8       9  

N/R

    1       1 2  

 

  1  

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

  2   

The investment advisor evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of July 31, 2016, the market value of unrated securities deemed by the investment adviser to be investment grade each represents 1% of the Trust’s total investments.

 

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    15


Trust Summary as of January 31, 2017    BlackRock New York Municipal Income Trust

 

Trust Overview

BlackRock New York Municipal Income Trust’s (BNY) (the “Trust”) investment objective is to provide current income exempt from regular U.S. federal income tax and New York State and New York City personal income taxes. The Trust seeks to achieve its investment objective by investing primarily in municipal bonds exempt from U.S. federal income taxes (except that the interest may be subject to the federal alternative minimum tax) and New York State and New York City personal income taxes. The Trust invests at least 80% of its assets in municipal bonds that are investment grade quality, or are considered by the Trust’s adviser to be of comparable quality, at the time of investment. The Trust may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Trust’s investment objective will be achieved.

 

Trust Information      

Symbol on NYSE

   BNY

Initial Offering Date

   July 27, 2001

Yield on Closing Market Price as of January 31, 2017 ($14.26)1

   5.05%

Tax Equivalent Yield2

   10.22%

Current Monthly Distribution per Common Share3

   $0.06

Current Annualized Distribution per Common Share3

   $0.72

Economic Leverage as of January 31, 20174

   40%

 

  1   

Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.

 

  2   

Tax equivalent yield assumes the maximum marginal federal and state tax rate of 50.59%, which includes the 3.8% Medicare tax. Actual tax rates will vary based on income, exemptions and deductions. Lower taxes will result in lower tax equivalent yields.

 

  3   

The distribution rate is not constant and is subject to change.

 

  4   

Represents VMTP Shares and TOB Trusts as a percentage of total managed assets, which is the total assets of the Trust, including any assets attributable to VMTP Shares and TOB Trusts, minus the sum of accrued liabilities. For a discussion of leveraging techniques utilized by the Trust, please see The Benefits and Risks of Leveraging on page 5.

 

Performance      

Returns for the six months ended January 31, 2017 were as follows:

 

    Returns Based On  
     Market Price     NAV  

BNY1,2

    (12.56 )%      (5.96 )% 

Lipper New York Municipal Debt Funds3

    (9.25 )%      (5.24 )% 

 

  1   

All returns reflect reinvestment of dividends and/or distributions.

 

  2  

The Trust moved from a premium to NAV to a discount during the period, which accounts for the difference between performance based on price and performance based on NAV.

 

  3   

Average return.

 

      Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

The following discussion relates to the Trust’s absolute performance based on NAV:

 

 

Municipal bonds lost ground in the six-month reporting period. After producing slightly positive returns in August, municipal bonds began to move lower in September and October due to a pick-up in new tax-exempt issuance and rising yields in the U.S. Treasury market. (Prices and yields move in opposite directions.) The weakness accelerated in November once Donald Trump’s election victory caused investors to adjust their expectations in favor of stronger growth and tighter Fed policy. The municipal market subsequently stabilized and retraced some of its losses in December and January as the relative attractiveness of the asset class brought in new investors, but the modest rally was insufficient to make up for the earlier downturn. The New York municipal market faced the added challenge of elevated new-issue supply in late 2016.

 

 

At the sector level, exposure to the transportation, local general obligation and education sectors detracted from performance. Holdings in longer-duration bonds, which were more sensitive to rising yields, also detracted. (Duration is a measure of interest-rate sensitivity.) Credit spreads widened during the period, so the Trust’s holdings in lower-rated investment-grade bonds were a further detractor.

 

 

Portfolio income, which was enhanced by the Trust’s use of leverage, made a positive contribution during a period of falling prices. However, leverage also served to accentuate the price declines associated with rising yields.

 

 

At a time when lower-quality, longer-dated bonds experienced the largest underperformance, the Trust’s positions in high-quality, short-dated issues performed relatively well and helped mitigate the impact of the market decline. The Trust sought to manage interest rate risk using U.S. Treasury futures. Given that Treasury yields rose as prices fell, this aspect of the Trust’s positioning had a positive effect on returns.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

 

                
16    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


     BlackRock New York Municipal Income Trust

 

 

Market Price and Net Asset Value Per Share Summary

 

      1/31/17      7/31/16      Change      High      Low  

Market Price

   $ 14.26      $ 16.71        (14.66 )%     $ 16.84      $ 13.49  

Net Asset Value

   $ 14.63      $ 15.94        (8.22 )%     $ 15.95      $ 14.35  

 

Market Price and Net Asset Value History For the Past Five Years

 

LOGO

 

Overview of the Trust’s Total Investments*

 

Sector Allocation   1/31/17     7/31/16  

County/City/Special District/School District

    24     23

Transportation

    20       20  

Education

    19       20  

Utilities

    13       12  

Health

    10       9  

State

    8       8  

Corporate

    2       5  

Housing

    2       2  

Tobacco

    2       1  

For Trust compliance purposes, the Trust’s sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

   
Call/Maturity Schedule3       

Calendar Year Ended December 31,
2017

    11

2018

    5  

2019

    4  

2020

    6  

2021

    21  

 

  3   

Scheduled maturity dates and/or bonds that are subject to potential calls by issuers over the next five years.

 

  *   Excludes short-term securities.
Credit Quality Allocation1   1/31/17     7/31/16  

AAA/Aaa

    19     15

AA/Aa

    41       43  

A

    24       24  

BBB/Baa

    8       7  

BB/Ba

    2       3  

B

    1        

N/R2

    5       8  

 

  1   

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

  2   

The investment advisor evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of January 31, 2017 and July 31, 2016, the market value of unrated securities deemed by the investment adviser to be investment grade represents 1% and 3%, respectively, of the Trust’s total investments.

 

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    17


Schedule of Investments January 31, 2017 (Unaudited)

  

BlackRock California Municipal Income Trust (BFZ)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

California — 91.5%

 

County/City/Special District/School District — 23.6%

 

Butte-Glenn Community College District, GO, Election of 2002, Series C, 5.50%, 8/01/30

   $ 8,425     $ 9,207,176  

Chabot-Las Positas Community College District, GO, Refunding, 4.00%, 8/01/37

     2,000       2,072,040  

City of San Jose California Hotel Tax, RB, Convention Center Expansion & Renovation Project:

    

6.13%, 5/01/31

     500       571,765  

6.50%, 5/01/36

     1,210       1,404,483  

6.50%, 5/01/42

     2,225       2,577,774  

County of Kern California, COP, Capital Improvements Projects, Series A (AGC), 6.00%, 2/01/19 (a)

     2,000       2,192,120  

County of Orange California Water District, COP, Refunding, 5.25%, 8/15/19 (a)

     2,000       2,201,680  

County of Riverside California Public Financing Authority, RB, Capital Facilities Project, 5.25%, 11/01/45

     8,990       10,253,724  

County of San Joaquin California Transportation Authority, Refunding RB, Limited Tax, Measure K, Series A:

    

6.00%, 3/01/36

     2,880       3,332,592  

5.50%, 3/01/41

     5,270       5,993,097  

County of Santa Clara California Financing Authority, Refunding LRB, Series L, 5.25%, 5/15/18 (a)

     20,000       21,106,800  

Evergreen Elementary School District, GO, Election of 2006, Series B (AGC), 5.13%, 8/01/33

     2,500       2,709,675  

Evergreen School District, GO, Election of 2014, 4.00%, 8/01/41

     5,365       5,457,922  

Foothill-De Anza Community College District, GO, Refunding, 4.00%, 8/01/40

     4,000       4,157,160  

Los Angeles Unified School District, GO, Election of 2008, Series A, 4.00%, 7/01/40

     8,500       8,664,220  

Modesto Irrigation District, COP, Capital Improvements, Series A, 5.75%, 10/01/29

     3,035       3,284,174  

Oak Grove School District, GO, Election of 2008, Series A, 5.50%, 8/01/33

     1,315       1,439,346  

Pico Rivera Public Financing Authority, RB, 5.75%, 9/01/19 (a)

     2,000       2,230,060  

San Jose California Financing Authority, Refunding LRB, Civic Center Project, Series A, 5.00%, 6/01/32

     3,375       3,815,606  

San Leandro California Unified School District, GO, Election of 2010, Series A, 5.75%, 8/01/41

     3,060       3,497,274  

Torrance Unified School District California, GO, Election of 2008, Measure Z, 6.00%, 8/01/19 (a)

     4,000       4,470,800  

Turlock Irrigation District, Refunding RB, 1st Priority, 5.00%, 1/01/33

     500       575,945  

Tustin California School District, GO, Election of 2008, Series B, 5.25%, 8/01/21 (a)

     3,445       4,004,537  
Municipal Bonds   

Par  

(000)

    Value  

California (continued)

                

County/City/Special District/School District (continued)

 

West Contra Costa California Unified School District, GO, Series A:

    

Election of 2010 (AGM), 5.25%, 8/01/32

   $ 4,960     $ 5,595,178  

Election of 2012, 5.50%, 8/01/39

     2,500       2,906,675  
    

 

 

 
        113,721,823  

Education — 5.2%

 

California Educational Facilities Authority, Refunding RB, San Francisco University, 6.13%, 10/01/36

     6,280       7,349,798  

California Municipal Finance Authority, RB, Emerson College, 5.75%, 1/01/33

     2,500       2,797,475  

California State University, Refunding RB, Systemwide, Series A:

    

5.00%, 11/01/33

     4,640       5,404,904  

5.00%, 11/01/41

     3,225       3,694,786  

University of California, Refunding RB, Series AR, 5.00%, 5/15/41

     5,000       5,731,000  
    

 

 

 
        24,977,963  

Health — 11.4%

 

ABAG Finance Authority for Nonprofit Corps., Refunding RB, Sharp Healthcare, Series B, 6.25%, 8/01/39

     4,975       5,521,603  

California Health Facilities Financing Authority, RB:

    

Adventist Health System West, Series A, 5.75%, 9/01/19 (a)

     6,710       7,465,479  

Children’s Hospital, Series A, 5.25%, 11/01/41

     8,500       9,391,905  

Sutter Health, Series B, 6.00%, 8/15/42

     6,015       6,850,724  

California Health Facilities Financing Authority, Refunding RB, Series A (a):

    

Catholic Healthcare West, 6.00%, 7/01/19

     5,550       6,167,104  

Dignity Health, 6.00%, 7/01/19

     4,520       5,022,579  

California Statewide Communities Development Authority, Refunding RB:

    

Catholic Healthcare West, Series B, 5.50%, 7/01/17 (a)

     2,880       2,936,160  

Catholic Healthcare West, Series E, 5.50%, 7/01/17 (a)

     5,065       5,163,768  

Trinity Health Credit Group Composite Issue, 5.00%, 12/01/41

     4,000       4,437,080  

Washington Township Health Care District, GO, Election of 2004, Series B, 5.50%, 8/01/38

     1,625       1,859,650  
    

 

 

 
        54,816,052  

State — 9.3%

 

Orange County Community Facilities District, Special Tax Bonds, Village of Esencia, Series A, 5.25%, 8/15/45

     2,500       2,681,125  

State of California, GO, Various Purposes, 6.00%, 4/01/38

     14,000       15,358,420  
 

 

Portfolio Abbreviations      

 

ACA    American Capital Access Holding Ltd.      COP    Certificates of Participation    ISD    Independent School District
AGC    Assured Guarantee Corp.      EDA    Economic Development Authority    LRB    Lease Revenue Bonds
AGM    Assured Guaranty Municipal Corp.      EDC    Economic Development Corp.    M/F    Multi-Family
AMBAC    American Municipal Bond Assurance Corp.      ERB    Education Revenue Bonds    MRB    Mortgage Revenue Bonds
AMT    Alternative Minimum Tax (subject to)      FHA    Federal Housing Administration    NPFGC    National Public Finance Guarantee Corp.
ARB    Airport Revenue Bonds      GARB    General Airport Revenue Bonds    PILOT    Payment in Lieu of Taxes
BAM    Build America Mutual Assurance Co.      GO    General Obligation Bonds    PSF-GTD    Permanent School Fund Guaranteed
BARB    Building Aid Revenue Bonds      HFA    Housing Finance Agency    RB    Revenue Bonds
BHAC    Berkshire Hathaway Assurance Corp.      IDA    Industrial Development Authority    S/F    Single-Family
CAB    Capital Appreciation Bonds      IDB    Industrial Development Board    SONYMA    State of New York Mortgage Agency
CIFG    CDC IXIS Financial Guaranty              

 

See Notes to Financial Statements.

 

                
18    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


Schedule of Investments (continued)

  

BlackRock California Municipal Income Trust (BFZ)

 

Municipal Bonds   

Par  

(000)

    Value  

California (continued)

                

State (continued)

 

State of California Public Works Board, LRB:

    

Department of Education, Riverside Campus Project, Series B, 6.50%, 4/01/34

   $ 9,000     $ 9,956,700  

Various Capital Projects, Series I, 5.50%, 11/01/33

     4,940       5,825,149  

Various Capital Projects, Sub-Series I-1, 6.38%, 11/01/19 (a)

     5,025       5,729,706  

State of California Public Works Board, RB, Department of Corrections & Rehabilitation, Series F, 5.25%, 9/01/33

     4,335       5,074,508  
    

 

 

 
        44,625,608  

Tobacco — 5.7%

 

Golden State Tobacco Securitization Corp., Refunding RB, Asset-Backed, Senior, Series A-1, 5.75%, 6/01/47

     28,035       27,542,705  

Transportation — 16.6%

 

City & County of San Francisco California Airports Commission, ARB, Series E, 6.00%, 5/01/39

     6,750       7,424,258  

City of Los Angeles California Department of Airports, ARB, Series A, AMT, 5.00%, 5/15/42

     8,980       9,882,759  

City of Los Angeles California Department of Airports, Refunding ARB, Los Angeles International Airport, Senior Series A:

    

5.00%, 5/15/34

     6,650       7,187,852  

5.00%, 5/15/40

     4,760       5,247,281  

City of San Jose California, Refunding ARB, Series A-1, AMT:

    

5.75%, 3/01/34

     3,820       4,312,513  

6.25%, 3/01/34

     2,650       3,042,889  

County of Orange California, ARB, Series B, 5.75%, 7/01/34

     8,000       8,152,960  

County of Sacramento California, Refunding ARB, Senior Series A, 5.00%, 7/01/41

     12,500       13,939,625  

County of Sacramento California, ARB:

    

PFC/Grant, Sub-Series D, 6.00%, 7/01/35

     3,000       3,186,540  

Senior Series B, 5.75%, 7/01/39

     1,850       1,956,967  

Port of Los Angeles California Harbor Department, Refunding RB, Series A, AMT, 5.00%, 8/01/44

     4,135       4,526,750  

San Francisco City & County Airport Commission, San Francisco International Airport, Refunding RB, Series A, AMT, 5.00%, 5/01/46

     10,000       10,960,700  
    

 

 

 
        79,821,094  

Utilities — 19.7%

 

Anaheim Public Financing Authority, RB, Electric System Distribution Facilities, Series A, 5.38%, 10/01/36

     7,690       8,646,251  

City of Chula Vista California, Refunding RB, San Diego Gas & Electric, Series D, 5.88%, 1/01/34

     6,555       7,160,158  

City of Los Angeles California Department of Water & Power, RB, Power System:

    

Series A, 5.00%, 7/01/46

     1,000       1,136,990  

Sub-Series A-1, 5.25%, 7/01/38

     9,000       9,511,110  

City of Los Angeles California Department of Water & Power, Refunding RB, Series A, 5.25%, 7/01/39

     4,000       4,519,560  

City of Los Angeles California Wastewater System, Refunding RB, Series A, 5.00%, 6/01/39

     2,000       2,149,620  

City of Petaluma California Wastewater, Refunding RB, 6.00%, 5/01/36

     5,625       6,502,444  

City of San Francisco California Public Utilities Commission Water Revenue, RB, Sub-Series A, 5.00%, 11/01/37

     5,000       5,636,400  

Cucamonga Valley Water District, Refunding RB, Series A (AGM), 5.25%, 9/01/31

     4,320       4,948,171  
Municipal Bonds   

Par  

(000)

    Value  

California (continued)

                

Utilities (continued)

 

Dublin-San Ramon Services District Water Revenue, Refunding RB, 6.00%, 8/01/41

   $ 2,425     $ 2,794,328  

East Bay California Municipal Utility District Water System Revenue, Refunding RB, Series A, 5.00%, 6/01/36

     5,745       6,353,625  

El Dorado Irrigation District / El Dorado County Water Agency, Refunding RB, Series A (AGM), 5.25%, 3/01/39

     10,000       11,337,200  

Los Angeles Department of Water, Refunding RB, Series B, 5.00%, 7/01/38

     2,000       2,295,680  

Los Angeles Department of Water & Power, RB, Series B:

    

5.00%, 7/01/37

     1,000       1,145,330  

5.00%, 7/01/38

     5,010       5,729,686  

5.00%, 7/01/45

     1,000       1,137,820  

Metropolitan Water District of Southern California, Refunding RB, Series A, 5.00%, 7/01/32

     2,500       2,942,075  

San Diego Public Facilities Financing Authority Sewer, Refunding RB, Senior Series A, 5.25%, 5/15/19 (a)

     10,000       10,932,000  
    

 

 

 
        94,878,448  
Total Municipal Bonds in California       440,383,693  
    

Multi-State — 0.5%

 

Housing — 0.5%

 

Centerline Equity Issuer Trust (b)(c):

    

Series A-4-2, 6.00%, 5/15/19

     1,000       1,084,050  

Series B-3-2, 6.30%, 5/15/19

     1,000       1,090,620  
Total Municipal Bonds in Multi-State       2,174,670  
Total Municipal Bonds — 92.0%       442,558,363  
    
   
Municipal Bonds Transferred to
Tender Option Bond Trusts (d)
       

California — 79.2%

 

County/City/Special District/School District — 27.8%

 

California Health Facilities Financing Authority, RB, Sutter Health, Series A, 5.00%, 11/15/41

     11,620       12,909,704  

Chabot-Las Positas Community College District, GO, Refunding, 4.00%, 8/01/37

     3,400       3,522,468  

Los Angeles Community College District California, GO, Election of 2008, Series A (a):

    

Election of 2001 (AGM), 5.00%, 8/01/17

     8,000       8,170,240  

Series C, 5.25%, 8/01/20 (e)

     12,902       14,615,655  

Los Angeles Community College District California, GO, Refunding, , 6.00%, 8/01/19 (a)

     20,131       22,511,102  

Los Angeles Unified School District California, GO, Series I, 5.00%, 1/01/34

     5,000       5,408,850  

Palomar California Community College District, GO, Election of 2006, Series C, 5.00%, 8/01/44

     15,140       17,034,165  

San Diego Community College District California, GO, Election of 2002, 5.25%, 8/01/19 (a)

     10,484       11,527,956  

San Joaquin California Delta Community College District, GO, Election of 2004, Series C, 5.00%, 8/01/39

     14,505       16,223,341  

San Jose Unified School District Santa Clara County California, GO:

    

Election of 2002, Series D, 5.00%, 8/01/18 (a)

     14,625       15,501,553  

Series C, 4.00%, 8/01/39

     6,100       6,226,941  
    

 

 

 
        133,651,975  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    19


Schedule of Investments (continued)

  

BlackRock California Municipal Income Trust (BFZ)

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (d)
  

Par  

(000)

    Value  

California (continued)

                

Education — 17.4%

 

Grossmont Union High School District, GO, Election of 2004, 5.00%, 8/01/18 (a)

   $ 13,095     $ 13,881,978  

University of California, RB:

    

Series AM, 5.25%, 5/15/44

     5,000       5,784,550  

Series O, 5.75%, 5/15/19 (a)

     12,303       13,574,104  

University of California, Refunding RB:

    

5.00%, 5/15/38

     4,250       4,882,442  

Series A, 5.00%, 11/01/43

     11,792       13,409,351  

Series AI, 5.00%, 5/15/38

     14,225       16,052,415  

Series I, 5.00%, 5/15/40

     14,065       15,938,559  
    

 

 

 
        83,523,399  

Health — 8.8%

 

California Health Facilities Financing Authority, RB, Sutter Health, Series A, 5.00%, 8/15/52

     9,695       10,444,034  

California Statewide Communities Development Authority, RB, Kaiser Permanente, Series A, 5.00%, 4/01/42

     18,960       20,610,278  

Regents of the University of California Medical Center Pooled Revenue, Refunding RB, Series L, 5.00%, 5/15/47

     10,290       11,564,314  
    

 

 

 
        42,618,626  

State — 6.7%

 

State of California, GO, Refunding, Various Purposes:

    

4.00%, 9/01/34

     13,790       14,290,163  

5.00%, 9/01/35

     10,115       11,589,240  

State of California, GO, Refunding, 4.00%, 9/01/37

     6,090       6,265,879  
    

 

 

 
        32,145,282  

Transportation — 5.6%

 

City of Los Angeles California Department of Airports, Series D, AMT, 5.00%, 5/15/41

     18,632       20,655,081  

County of San Diego Regional Transportation Commission, Refunding RB, Series A, 5.00%, 4/01/48

     5,740       6,569,717  
    

 

 

 
        27,224,798  
Municipal Bonds Transferred to
Tender Option Bond Trusts (d)
  

Par  

(000)

    Value  

California (continued)

                

Utilities — 12.9%

 

County of Orange California Water District, COP, Refunding, 5.00%, 8/15/19 (a)

   $ 10,480     $ 11,471,408  

County of San Diego California Water Authority Financing Corp., COP, Refunding, Series A (AGM) (a):

    

5.00%, 5/01/18

     1,670       1,754,535  

5.00%, 5/01/18

     8,370       8,793,689  

Eastern Municipal Water District, COP, Series H, 5.00%, 7/01/18 (a)

     18,002       19,012,437  

Los Angeles Department of Water, Refunding RB, Series A, 5.00%, 7/01/46

     6,412       7,317,220  

San Diego Public Facilities Financing Authority Sewer, Refunding RB, Senior Series A, 5.25%, 5/15/19 (a)

     12,460       13,621,272  
    

 

 

 
        61,970,561  
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 79.2%
      381,134,641  
Total Long-Term Investments
(Cost — $788,260,370) — 171.2%
      823,693,004  
    
   
Short-Term Securities    Shares         

BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.50% (f)(g)

     563,095       563,151  
Total Short-Term Securities
(Cost — $563,151) — 0.1%
      563,151  
Total Investments (Cost — $788,823,521) — 171.3%       824,256,155  

Other Assets Less Liabilities — 1.4%

 

    7,050,567  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (37.1)%

 

    (178,894,257

VMTP Shares, at Liquidation Value — (35.6)%

 

    (171,300,000
 

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 481,112,465  
    

 

 

 
 
Notes to Schedule of Investments

 

(a)   U.S. Government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par.

 

(b)   Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

(c)   Represents a beneficial interest in a trust. The collateral deposited into the trust is federally tax-exempt revenue bonds issued by various state or local governments, or their respective agencies or authorities. The security is subject to remarketing prior to its stated maturity.

 

(d)   Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.

 

(e)   All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreement, which expires on August 1, 2018, is $6,798,086. See Note 4 of the Notes to Financial Statements for details.

 

(f)   During the six months ended January 31, 2017, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares Held
at July 31,
2016
     Net
Activity
     Shares Held
at January 31,
2017
     Value at
January 31,
2017
     Income      Net Realized
Gain1
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

     3,771,908        (3,208,813      563,095      $ 563,151      $ 3,326      $ 2,739         

1    Includes net capital gain distributions.

     

  

 

(g)   Current yield as of period end.

 

See Notes to Financial Statements.

 

                
20    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


Schedule of Investments (continued)

  

BlackRock California Municipal Income Trust (BFZ)

 

For Trust compliance purposes, the Trust’s sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

Derivative Financial Instruments Outstanding as of Period End      

 

Futures Contracts        
Contracts
Short
       Issue   Expiration   Notional
Value
    Unrealized
Depreciation
        
  (64      5-Year U.S. Treasury Note   March 2017   $ 7,543,500     $ (19,960  
  (193      10-Year U.S. Treasury Note   March 2017   $ 24,022,469       (87,176  
  (124      Long U.S. Treasury Bond   March 2017   $ 18,704,625       (39,579  
  (21      Ultra U.S. Treasury Bond   March 2017   $ 3,374,438       (7,052        
 

Total

    $ (153,767  
          

 

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure      

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Liabilities — Derivative Financial Instruments   Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Futures contracts

  Net unrealized depreciation1                           $ 153,767           $ 153,767  

1    Includes cumulative (depreciation) on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

     

For the six months ended January 31, 2017, the effect of derivative financial instruments in the Statements of Operations was as follows:  
Net Realized Gain (Loss) From:   Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Futures contracts

                          $ 2,105,216           $ 2,105,216  

Net Change in Unrealized Appreciation (Depreciation) on:

                                                       

Futures contracts

                          $ (71,894         $ (71,894

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments      

 

Futures contracts:  

Average notional value of contracts — short

  $ 38,694,305  

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

Fair Value Hierarchy as of Period End      

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  

Assets:

 

Investments:  

Long-Term Investments1

           $ 823,693,004                 $ 823,693,004  

Short-Term Securities

  $ 563,151                            563,151  
 

 

 

 

Total

  $ 563,151        $ 823,693,004                 $ 824,256,155  
 

 

 

 
                                          
Derivative Financial Instruments2  

Liabilities:

 

Interest rate contracts

  $ (153,767                        $ (153,767

1   See above Schedule of Investments for values in each sector.

    

2   Derivative financial instruments are futures contracts which are valued at the unrealized appreciation (depreciation) on the instrument.

    

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    21


Schedule of Investments (concluded)

  

BlackRock California Municipal Income Trust (BFZ)

 

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1      Level 2        Level 3      Total  

Liabilities:

 

TOB Trust Certificates

       $ (178,458,032           $ (178,458,032

VMTP Shares at Liquidation Value

         (171,300,000             (171,300,000
 

 

    

 

 

      

 

    

 

 

 

Total

       $ (349,758,032           $ (349,758,032
 

 

    

 

 

      

 

    

 

 

 

During the six months ended January 31, 2017, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
22    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


Schedule of Investments January 31, 2017 (Unaudited)

  

BlackRock Florida Municipal 2020 Term Trust (BFO)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)
    Value  

Florida — 97.8%

                

Corporate — 3.9%

 

County of Hillsborough Florida IDA, Refunding RB, Tampa Electric Co. Project, Series A, 5.65%, 5/15/18

   $ 1,000     $ 1,052,960  

County of Palm Beach Florida Solid Waste Authority, Refunding RB, 5.00%, 10/01/20

     2,000       2,241,160  
    

 

 

 
        3,294,120  

County/City/Special District/School District — 34.3%

 

City of Jacksonville Florida, Refunding RB:

    

Better Jacksonville Sales Tax, 5.00%, 10/01/20

     4,000       4,471,720  

Brooks Rehabilitation Project, 5.00%, 11/01/20

     400       441,704  

County of Broward Florida School Board, COP, Refunding, Series A, 5.00%, 7/01/20

     2,000       2,218,140  

County of Broward Florida School Board, COP, Series A (AGM), 5.25%, 7/01/18 (a)

     2,500       2,647,600  

County of Hillsborough Florida, RB (AMBAC), 5.00%, 11/01/17 (a)

     5,545       5,716,729  

County of Miami-Dade Florida School Board, COP, Refunding, Series B (AGC), 5.25%, 5/01/18 (a)

     4,000       4,210,440  

County of Northern Palm Beach Florida Improvement District, Refunding, Special Assessment Bonds, Water Control & Improvement District No. 43, Series B (ACA), 4.50%, 8/01/22

     1,000       996,340  

Florida State Board of Education, GO, Refunding, Capital Outlay, Series B, 5.00%, 6/01/20

     485       532,093  

Indian River County School Board, COP, Refunding, Series A, 5.00%, 7/01/20

     1,000       1,111,540  

Miami-Dade County School Board Foundation, Inc., COP, Refunding, Series A, 5.00%, 5/01/20

     1,250       1,380,837  

Palm Beach County School District, COP, Refunding Series B, 5.00%, 8/01/20

     3,000       3,341,130  

Stevens Plantation Florida Imports Project Dependent Special District, RB, 6.38%, 5/01/13 (b)(c)

     2,425       1,696,312  
    

 

 

 
        28,764,585  

Education — 4.2%

 

City of Tampa Florida, Refunding RB, Florida Revenue The University of Tampa Project, 5.00%, 4/01/20

     795       870,891  

County of Orange Florida Educational Facilities Authority, RB, Rollins College Project (AMBAC), 5.25%, 12/01/17 (a)

     725       751,122  

Florida State Board of Governors, Refunding RB, University of Central Florida, Series A, 5.00%, 7/01/18

     400       419,952  

Florida State Higher Educational Facilities Financial Authority, Refunding RB, University of Tampa Project, Series A, 5.00%, 4/01/20

     1,000       1,094,490  

Volusia County School Board, COP, Refunding Series A, 5.00%, 8/01/20

     350       390,176  
    

 

 

 
        3,526,631  

Health — 17.6%

 

County of Brevard Florida Health Facilities Authority, Refunding RB, 5.00%, 4/01/20

     500       545,710  

County of Highlands Florida Health Facilities Authority, Refunding RB, Hospital, Adventist Health, Series I, 5.00%, 11/15/20

     2,155       2,359,359  

County of Marion Florida Hospital District, Refunding RB, Health System, Munroe Regional, 5.00%, 10/01/17 (a)

     1,500       1,541,220  

County of Orange Florida Health Facilities Authority, Refunding RB, Mayflower Retirement Center:

    

3.00%, 6/01/17

     190       190,878  

3.25%, 6/01/18

     195       198,442  

3.50%, 6/01/19

     200       206,354  
Municipal Bonds    Par  
(000)
    Value  

Florida (continued)

                

Health (continued)

 

County of Palm Beach Florida Health Facilities Authority, Refunding RB:

    

Acts Retirement-Life Communities, Inc., 5.00%, 11/15/22

   $ 4,735     $ 5,354,243  

Bethesda Healthcare System Project, Series A (AGM), 5.00%, 7/01/20

     1,285       1,421,544  

County of Palm Beach Health Facilities Authority, Refunding RB, Acts Retirement-Life Communities, Inc., 4.00%, 11/15/20

     2,000       2,119,840  

Halifax Hospital Medical Center, Refunding RB, 5.00%, 6/01/20

     590       650,428  

Miami Beach Health Facilities Authority, Refunding RB, 5.00%, 11/15/20

     150       164,896  
    

 

 

 
        14,752,914  

Housing — 0.8%

 

County of Lee Florida HFA, RB, S/F Housing, Multi-County Program, Series A-2, AMT (Ginnie Mae), 6.00%, 9/01/40

     110       111,071  

County of Manatee Florida HFA, RB, S/F Housing, Series A, AMT (Ginnie Mae, Fannie Mae & Freddie Mac), 5.90%, 9/01/40

     150       152,093  

Florida Housing Finance Corp., RB, Homeowner Mortgage, Series 2, AMT (Ginnie Mae, Fannie Mae & Freddie Mac), 4.70%, 7/01/22

     420       427,136  
    

 

 

 
        690,300  

State — 11.7%

 

Florida Municipal Loan Council, RB, Series D (AGM):

    

5.00%, 10/01/19

     1,050       1,144,101  

4.00%, 10/01/20

     1,105       1,180,903  

4.00%, 10/01/21

     500       537,965  

Florida Municipal Loan Council, Refunding RB:

    

CAB, Series A (NPFGC), 0.00%, 4/01/20 (d)

     3,185       2,917,683  

Series B-2 (AGM), 4.00%, 10/01/20

     655       700,712  

State of Florida Department of Environmental Protection, Refunding RB, Series A, 5.00%, 7/01/20

     3,000       3,344,160  
    

 

 

 
        9,825,524  

Transportation — 10.6%

 

City of Jacksonville Florida Port Authority, Refunding RB, AMT, 4.00%, 11/01/20

     865       909,539  

County of Broward Florida Fuel System, RB, Lauderdale Fuel Facilities, Series A (AGM), AMT, 5.00%, 4/01/20

     160       174,885  

County of Broward Florida Port Facilities, Refunding RB, Series B, AMT, 5.00%, 9/01/20

     2,500       2,756,200  

County of Miami-Dade Florida, Refunding RB, Series A, AMT, 5.00%, 10/01/20

     1,375       1,526,786  

County of Miami-Dade Florida Expressway Authority, Refunding RB, Toll System, Series A, 5.00%, 7/01/20

     1,500       1,664,670  

County of Miami-Dade Florida Transit System Sales Surtax, Refunding RB, 5.00%, 7/01/20

     550       612,122  

Greater Orlando Aviation Authority, Refunding RB, Series C, 5.00%, 10/01/20

     1,130       1,263,261  
    

 

 

 
        8,907,463  

Utilities — 14.7%

 

City of Fort Lauderdale Florida Water & Sewer Revenue, Refunding RB, 5.00%, 9/01/20

     2,970       3,339,735  

City of Miami Beach Florida, RB, 5.00%, 9/01/20

     250       279,233  

City of North Miami Florida Beach Water Revenue, RB, 5.00%, 8/01/20

     1,200       1,322,736  

County of Miami-Dade Florida Water & Sewer System, Refunding RB, Series B (AGM), 5.25%, 10/01/19

     4,000       4,403,800  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    23


Schedule of Investments (concluded)

  

BlackRock Florida Municipal 2020 Term Trust (BFO)

 

Municipal Bonds    Par  
(000)
    Value  

Florida (continued)

                

Utilities (continued)

 

Florida Governmental Utility Authority, RB, Golden Gate Utility System (AGM), 5.00%, 7/01/19

   $ 510     $ 551,315  

Florida Governmental Utility Authority, Refunding RB:

    

4.00%, 10/01/20

     500       537,835  

Lehigh Utility (AGM), 5.00%, 10/01/20

     635       705,453  

Florida Municipal Power Agency, RB, 5.00%, 10/01/20

     500       558,965  

Town of Davie Florida, Refunding RB, Nova Southeastern University Project, Series B, 5.00%, 4/01/20

     530       577,345  
    

 

 

 
               12,276,417  
Total Municipal Bonds in Florida       82,037,954  
 

Guam — 0.6%

 

Utilities — 0.6%

 

Guam Government Waterworks Authority, RB, 5.25%, 7/01/20

     100       110,088  

Guam Power Authority, Refunding RB, Series A (AGM), 5.00%, 10/01/20

     310       340,749  
Total Municipal Bonds in Guam       450,837  

Total Municipal Bonds

(Cost — $80,422,345) — 98.4%

 

 

    82,488,791  
Short-Term Securities   

Shares

    Value  

BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.50% (e)(f)

     658,296     $ 658,362  

Total Short-Term Securities

(Cost — $658,296) — 0.8%

 

 

    658,362  
Total Investments (Cost — $81,080,641) — 99.2%       83,147,153  
Other Assets Less Liabilities — 0.8%       707,497  
    

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 83,854,650  
    

 

 

 
 
Notes to Schedule of Investments      

 

(a)   U.S. Government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par.

 

(b)   Non-income producing security.

 

(c)   Issuer filed for bankruptcy and/or is in default.

 

(d)   Zero-coupon bond.

 

(e)   During the six months ended January 31, 2017, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate   Shares Held
at July 31,
2016
    Net
Activity
    Shares Held
at January 31,
2017
    Value at
January 31,
2017
    Income     Net Realized
Gain1
   

Change in
Unrealized
Appreciation

(Depreciation)

 

BlackRock Liquidity Funds, MuniCash, Institutional Class

    1,836,731       (1,178,435     658,296     $ 658,362     $ 1,043     $ 396     $ 66  

1    Includes net capital gain distributions.

     

 

(f)   Current yield as of period end.

For Trust compliance purposes, the Trust’s sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

Fair Value Hierarchy as of Period End      

Various inputs are used in determining the fair value of investments. For information about the Trust’s policy regarding valuation of investments, refer to the Notes to Financial Statements.

The following table summarizes the Trust’s investments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  

Assets:

 

Investments:  

Long-Term Investments1

           $ 82,488,791                 $ 82,488,791  

Short-Term Securities

  $ 658,362                            658,362  
 

 

 

 

Total

  $ 658,362        $ 82,488,791                 $ 83,147,153  
 

 

 

 

1   See above Schedule of Investments for values in each sector.

 

During the six months ended January 31, 2017, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
24    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


Schedule of Investments January 31, 2017 (Unaudited)

  

BlackRock Municipal 2030 Target Term Trust (BTT)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

Alabama — 0.9%

 

County of Jefferson Alabama, RB, Limited Obligation School, Series A:

    

5.25%, 1/01/19

   $ 1,000     $ 1,004,113  

5.25%, 1/01/20

     1,000       1,004,070  

5.50%, 1/01/21

     1,200       1,204,884  

5.50%, 1/01/22

     1,105       1,109,497  

County of Jefferson Alabama Sewer Revenue, Refunding RB, CAB, Senior Lien-Warrants, Series B (AGM) (a):

    

0.00%, 10/01/31

     7,375       3,570,238  

0.00%, 10/01/32

     6,295       2,826,392  

0.00%, 10/01/33

     1,275       535,424  

University of South Alabama, Refunding RB, AGM:

    

5.00%, 11/01/29

     1,105       1,277,413  

5.00%, 11/01/30

     2,000       2,299,980  
    

 

 

 
        14,832,011  

Alaska — 0.4%

 

Northern Tobacco Securitization Corp., Refunding RB, Tobacco Settlement, Asset-Backed, Series A, 4.63%, 6/01/23

     6,130       6,160,527  

Arizona — 2.3%

 

Arizona Health Facilities Authority, Refunding RB, Phoenix Children’s Hospital:

    

Series A, 5.00%, 2/01/34

     6,340       6,727,945  

Series B, 5.00%, 2/01/33

     1,810       1,933,569  

City of Phoenix Arizona IDA, RB, Facility:

    

Candeo Schools, Inc. Project, 6.00%, 7/01/23

     575       628,607  

Eagle College Preparatory Project, Series A, 4.50%, 7/01/22

     575       588,857  

Eagle College Preparatory Project, Series A, 5.00%, 7/01/33

     1,000       1,005,140  

Legacy Traditional Schools Project, Series A, 5.75%, 7/01/24 (b)

     750       821,895  

County of Maricopa IDA, Refunding RB, Banner Health, Series A, 5.00%, 1/01/31

     16,280       18,857,775  

County of Pima Arizona IDA, Refunding RB, Tucson Electric Power Co. Project, Series A, 4.00%, 9/01/29

     6,000       6,209,580  
    

 

 

 
        36,773,368  

California — 11.8%

 

Alameda Corridor Transportation Authority, Refunding RB, CAB, Sub-Lien, Series A (AMBAC), 0.00%, 10/01/30 (a)

     10,530       5,737,586  

Azusa Unified School District, GO, Refunding (AGM):

    

4.00%, 8/01/30

     4,420       4,755,876  

4.00%, 8/01/31

     4,825       5,126,852  

California Municipal Finance Authority, RB:

    

Biola University, 4.00%, 10/01/27

     750       777,405  

Biola University, 5.00%, 10/01/29

     660       725,584  

Biola University, 5.00%, 10/01/30

     500       547,185  

Biola University, 4.00%, 10/01/33

     2,500       2,511,525  

Senior, S/F Housing, Caritas Affordable Housing, Inc. Project, Series A, 5.00%, 8/15/30

     1,000       1,104,900  

California Pollution Control Financing Authority, RB, Poseidon Resources Desalination Project, AMT, 5.00%, 7/01/30 (b)

     13,845       14,350,343  

California State Public Works Board, RB, Judicial Council Projects, Series A, 5.00%, 3/01/33

     5,220       5,821,031  

California Statewide Communities Development Authority, RB, American Baptist Homes of the West, Series A, 5.00%, 10/01/23

     1,500       1,692,915  

California Statewide Communities Development Authority, Refunding RB, Eskaton Properties, Inc., 5.25%, 11/15/34

     2,500       2,661,250  
Municipal Bonds   

Par  

(000)

    Value  

California (continued)

 

City & County of San Francisco California Redevelopment Agency, Refunding, Special Tax Bonds, No. 6 Mission Bay South Public Improvements, Series A:

    

5.00%, 8/01/28

   $ 1,000     $ 1,074,370  

5.00%, 8/01/29

     1,300       1,391,026  

5.00%, 8/01/33

     1,335       1,408,078  

El Camino Community College District, GO, CAB, Election of 2002, Series C (a):

    

0.00%, 8/01/30

     9,090       5,518,175  

0.00%, 8/01/31

     12,465       7,232,068  

0.00%, 8/01/32

     17,435       9,668,928  

Golden Empire Schools Financing Authority, Refunding RB, Kern High School District Projects, 1.16%, 5/01/17 (c)

     8,590       8,590,000  

Los Angeles Regional Airports Improvement Corp., Refunding RB, LAXFuel Corp., Los Angeles International, AMT:

    

4.50%, 1/01/27

     5,000       5,335,650  

5.00%, 1/01/32

     4,110       4,393,796  

Los Angeles Unified School District, GO, Election of 2008, Series A, 4.00%, 7/01/33

     3,000       3,128,490  

M-S-R Energy Authority, RB, Series C, 6.13%, 11/01/29

     2,500       3,082,900  

Monterey Peninsula Community College District, GO, Refunding, CAB (a):

    

0.00%, 8/01/30

     3,500       2,066,400  

0.00%, 8/01/31

     5,940       3,331,627  

Oakland Unified School District/Alameda County, GO, Series A:

    

5.00%, 8/01/30

     1,000       1,162,790  

5.00%, 8/01/32

     1,100       1,264,879  

5.00%, 8/01/33

     1,000       1,144,240  

Poway Unified School District, GO, Election of 2008, Series A (a):

    

0.00%, 8/01/27

     10,000       7,032,700  

0.00%, 8/01/30

     10,000       5,974,800  

0.00%, 8/01/32

     12,500       6,796,500  

Riverside Public Financing Authority, Tax Allocation Bonds, University Corridor/Sycamore Canyon Merged Redevelopment Project, Series C (NPFGC), 4.50%, 8/01/30

     10,000       10,122,800  

San Bernardino Community College District, GO, Refunding, Series A:

    

4.00%, 8/01/31

     10,660       11,188,843  

4.00%, 8/01/32

     12,010       12,555,494  

4.00%, 8/01/33

     5,665       5,898,681  

San Diego Community College District, GO, CAB, Election of 2006, 0.00%, 8/01/30 (a)

     5,000       2,736,550  

State of California, GO, Refunding, 4.00%, 9/01/34

     16,000       16,580,160  

Union City Community Redevelopment Agency, Refunding, Tax Allocation Bonds, Community Redevelopment Agency Projects, Series A:

    

5.00%, 10/01/32

     1,355       1,529,524  

5.00%, 10/01/33

     3,000       3,371,940  
    

 

 

 
        189,393,861  

Colorado — 3.3%

 

Central Platte Valley Metropolitan District, GO, Series A:

    

5.13%, 12/01/29

     700       769,867  

5.50%, 12/01/29

     750       843,052  

5.38%, 12/01/33

     1,500       1,658,505  

City of Lakewood Colorado Plaza Metropolitan District No. 1, Refunding, Tax Allocation Bonds, 4.00%, 12/01/23 (b)

     1,000       1,002,750  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    25


Schedule of Investments (continued)

  

BlackRock Municipal 2030 Target Term Trust (BTT)

 

Municipal Bonds   

Par  

(000)

    Value  

Colorado (continued)

 

Colorado Health Facilities Authority, Refunding RB:

    

Covenant Retirement Communities, Series A, 4.50%, 12/01/33

   $ 4,595     $ 4,648,348  

Covenant Retirement Communities, Series A, 5.00%, 12/01/33

     3,000       3,141,840  

NCMC, Inc. Project, 4.00%, 5/15/30

     2,860       3,010,179  

The Evangelical Lutheran Good Samaritan Society Project, Series A, 5.00%, 6/01/29

     3,455       3,744,771  

The Evangelical Lutheran Good Samaritan Society Project, Series A, 5.00%, 6/01/30

     3,140       3,356,283  

The Evangelical Lutheran Good Samaritan Society Project, Series A, 5.00%, 6/01/31

     2,250       2,386,710  

The Evangelical Lutheran Good Samaritan Society Project, Series A, 5.00%, 6/01/32

     1,500       1,581,405  

Copperleaf Metropolitan District No. 2, GO, Refunding, 5.25%, 12/01/30

     500       505,105  

Denver Convention Center Hotel Authority, Refunding RB, Senior, 5.00%, 12/01/30

     2,000       2,219,840  

Park Creek Metropolitan District, Refunding, Tax Allocation Bonds, Senior Limited Property, Series A:

    

5.00%, 12/01/26

     1,000       1,126,230  

5.00%, 12/01/27

     1,500       1,676,160  

5.00%, 12/01/28

     1,500       1,668,825  

5.00%, 12/01/30

     1,350       1,483,461  

5.00%, 12/01/31

     1,500       1,640,985  

5.00%, 12/01/33

     1,000       1,084,590  

Plaza Metropolitan District No. 1, Refunding, Tax Allocation Bonds (b):

    

4.10%, 12/01/24

     5,080       5,093,614  

4.20%, 12/01/25

     5,280       5,294,098  

4.50%, 12/01/30

     4,305       4,301,255  

Tallyns Reach Metropolitan District No. 3, GO, Refunding, 5.00%, 12/01/33

     505       517,650  
    

 

 

 
        52,755,523  

Connecticut — 3.9%

 

State of Connecticut, GO, Series D, 4.00%, 8/15/29

     11,500       12,089,375  

University of Connecticut, RB, Series A:

    

5.00%, 1/15/29

     15,560       18,057,691  

5.00%, 1/15/30

     13,000       14,945,450  

5.00%, 1/15/31

     15,560       17,760,495  
    

 

 

 
        62,853,011  

District of Columbia — 1.3%

 

District of Columbia, GO, Series A, 5.00%, 6/01/32

     16,980       19,771,172  

District of Columbia, Refunding RB, Kipp Charter School, Series A, 6.00%, 7/01/33

     1,700       1,967,682  
    

 

 

 
        21,738,854  

Florida — 10.9%

 

City of Lakeland Florida, Refunding RB, Lakeland Regional Health System, 5.00%, 11/15/30

     3,750       4,183,800  

City of North Miami Beach Florida, Refunding RB, 4.00%, 8/01/27

     2,810       2,978,572  

City of Tampa Florida, Refunding RB, Series A:

    

County of Hillsborough Florida Expressway Authority, 4.00%, 7/01/30

     6,395       6,657,131  

H. Lee Moffitt Cancer Center Project, 4.00%, 9/01/33

     10,000       10,200,400  

County of Alachua Florida Health Facilities Authority, RB, East Ridge Retirement Village, Inc. Project, 6.00%, 11/15/29

     5,000       5,402,950  

County of Brevard Florida Health Facilities Authority, Refunding RB, Health First, Inc. Project, 5.00%, 4/01/33

     3,760       4,050,347  
Municipal Bonds   

Par  

(000)

    Value  

Florida (continued)

 

County of Broward Florida, RB, Fort Lauderdale Fuel Facilities, Series A, AMT (AGM):

    

5.00%, 4/01/30

   $ 600     $ 650,718  

5.00%, 4/01/33

     740       794,257  

County of Broward Florida School District, COP, Refunding, Series A, 5.00%, 7/01/32

     3,000       3,417,660  

County of Martin Florida IDA, Refunding RB, Indiantown Cogeneration, L.P. Project, AMT, 4.20%, 12/15/25 (b)

     5,250       5,364,607  

County of Miami-Dade Florida, Refunding RB:

    

Series B, 4.00%, 4/01/32

     6,690       6,912,978  

Sub-Series B, 5.00%, 10/01/32

     5,000       5,544,850  

County of Miami-Dade Florida Educational Facilities Authority, Refunding RB, Series A, 5.00%, 4/01/33

     5,000       5,524,750  

County of Miami-Dade Florida School Board, COP, Refunding, Series A:

    

5.00%, 5/01/32

     10,000       11,041,700  

5.00%, 5/01/32

     9,000       10,149,480  

County of Orange Florida School Board, COP, Refunding, Series C, 5.00%, 8/01/33

     21,555       24,635,856  

County of Palm Beach Florida Health Facilities Authority, Refunding RB, Acts Retirement-Life Communities, Inc. Obligated Group, 5.00%, 11/15/32

     19,790       21,262,574  

County of St. Johns Florida Water & Sewer Revenue, Refunding RB, CAB, Series B (a):

    

0.00%, 6/01/29

     2,295       1,567,233  

0.00%, 6/01/30

     2,000       1,313,520  

0.00%, 6/01/31

     1,295       816,964  

0.00%, 6/01/32

     2,495       1,512,743  

Double Branch Community Development District, Refunding, Special Assessment Bonds, Senior Lien, Series A-1, 4.13%, 5/01/31

     1,200       1,221,792  

Greater Orlando Aviation Authority, Refunding RB, Jet Blue Airways Corp. Project, AMT, 5.00%, 11/15/26

     2,000       2,080,220  

Jacksonville Florida Port Authority, Refunding RB, AMT:

    

4.50%, 11/01/30

     2,895       3,057,583  

4.50%, 11/01/31

     3,200       3,366,912  

4.50%, 11/01/32

     2,300       2,412,631  

Miami Beach Health Facilities Authority, Refunding RB, Mount Sinai Medical Center, 5.00%, 11/15/30

     1,000       1,085,290  

Reedy Creek Improvement District, GO, Series A, 5.25%, 6/01/30

     3,825       4,427,743  

Village Community Development District No. 5, Refunding, Special Assessment Bonds:

    

Phase I, 3.50%, 5/01/28

     2,025       1,903,541  

Phase I, 3.50%, 5/01/28

     3,805       3,576,776  

Phase II, 4.00%, 5/01/33

     1,180       1,135,774  

Phase II, 4.00%, 5/01/34

     2,435       2,325,644  

Village Community Development District No. 6, Refunding, Special Assessment Bonds, Sumter County, 4.00%, 5/01/29

     6,065       5,932,358  

Village Community Development District No. 10, Special Assessment Bonds, Sumter County:

    

4.50%, 5/01/23

     2,660       2,781,243  

5.00%, 5/01/32

     5,685       6,037,186  
    

 

 

 
        175,327,783  

Idaho — 0.6%

 

Idaho Housing & Finance Association, RB, Series A, 4.00%, 7/15/30

     10,000       10,341,300  
 

 

See Notes to Financial Statements.

 

                
26    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


Schedule of Investments (continued)

  

BlackRock Municipal 2030 Target Term Trust (BTT)

 

Municipal Bonds   

Par  

(000)

    Value  

Illinois — 14.2%

 

Chicago Midway International Airport, Refunding ARB, 2nd Lien, Series A, AMT, 5.00%, 1/01/33

   $ 5,000     $ 5,358,650  

Chicago O’Hare International Airport, Refunding RB, 5.00%, 1/01/33

     6,940       7,624,006  

City of Chicago Illinois, GO, Project, Series A, 5.00%, 1/01/33

     10,000       9,403,000  

City of Chicago Illinois, RB, Wastewater Transmission, 2nd Lien:

    

4.00%, 1/01/31

     10,375       10,388,487  

4.00%, 1/01/32

     10,790       10,729,684  

4.00%, 1/01/33

     11,220       11,076,496  

4.00%, 1/01/35

     9,135       8,895,115  

City of Chicago Illinois, Refunding ARB, O’Hare International Airport Passenger Facility Charge, Series B, AMT:

    

4.00%, 1/01/27

     5,000       5,159,850  

4.00%, 1/01/29

     28,425       28,868,430  

City of Chicago Illinois Motor Fuel Tax Revenue, Refunding RB, (AGM), 5.00%, 1/01/30

     730       782,363  

City of St. Charles Illinois, GO, Refunding, Corporate Purpose:

    

4.00%, 12/01/30

     1,620       1,703,398  

4.00%, 12/01/31

     1,715       1,794,868  

4.00%, 12/01/32

     1,800       1,878,930  

County of Cook Illinois, GO, Refunding, Series C, 4.00%, 11/15/29

     19,750       20,031,042  

Illinois Finance Authority, Refunding RB:

    

DePaul University, Series A, 5.00%, 10/01/30

     1,000       1,143,690  

DePaul University, Series A, 4.00%, 10/01/31

     1,000       1,031,750  

DePaul University, Series A, 4.00%, 10/01/32

     1,000       1,025,790  

Lutheran Home & Services Obligated Group, 5.00%, 5/15/22

     4,560       4,761,096  

Lutheran Home & Services Obligated Group, 5.50%, 5/15/27

     4,350       4,548,229  

Lutheran Home & Services Obligated Group, 5.50%, 5/15/30

     4,900       5,078,997  

Presence Health Network, Series C, 5.00%, 2/15/30

     12,000       12,566,640  

Rush University Medical Center, Series A, 5.00%, 11/15/31

     8,415       9,252,377  

Rush University Medical Center, Series A, 5.00%, 11/15/32

     2,075       2,272,146  

Rush University Medical Center, Series A, 5.00%, 11/15/33

     2,125       2,315,783  

The Peoples Gas Light & Coke Company Project, 4.00%, 2/01/33

     11,000       11,265,430  

The University of Chicago Medical Centre, Series B, 5.00%, 8/15/30

     3,205       3,622,740  

Illinois State Toll Highway Authority, Refunding RB, Senior, Series A:

    

4.00%, 12/01/31

     20,000       20,728,800  

5.00%, 12/01/32

     4,550       5,113,244  

Winnebago & Boone Counties School District No. 205 Rockford, GO:

    

4.00%, 2/01/29

     9,080       9,336,147  

4.00%, 2/01/30

     9,835       10,049,993  
    

 

 

 
        227,807,171  

Indiana — 3.1%

 

City of Valparaiso Indiana, RB, Exempt Facilities, Pratt Paper LLC Project, AMT, 5.88%, 1/01/24

     2,020       2,236,524  

City of Whiting Indiana, RB, BP Products North America, Inc. Project, AMT, 5.00%, 3/01/46 (c)

     8,500       9,631,435  

Indiana Finance Authority, Refunding RB:

    

Community Health Network Project, Series A, 4.00%, 5/01/35

     23,565       23,473,097  

Earlham College Project, 5.00%, 10/01/32

     11,255       11,819,888  
Municipal Bonds   

Par  

(000)

    Value  

Indiana (continued)

 

Northern Indiana Commuter Transportation District, RB:

    

5.00%, 7/01/32

   $ 1,000     $ 1,130,560  

5.00%, 7/01/33

     1,400       1,575,560  
    

 

 

 
        49,867,064  

Iowa — 2.0%

 

Iowa Finance Authority, Refunding RB, Midwestern Disaster Area, Iowa Fertilizer Co. Project:

    

5.50%, 12/01/22

     18,500       18,592,500  

5.25%, 12/01/25

     14,345       14,318,892  
    

 

 

 
        32,911,392  

Kansas — 0.2%

 

Wyandotte County-Kansas City Unified Government Utility System Revenue, RB, Series A:

    

5.00%, 9/01/30

     1,175       1,336,081  

5.00%, 9/01/33

     1,370       1,535,208  
    

 

 

 
        2,871,289  

Kentucky — 0.6%

 

County of Louisville/Jefferson Metropolitan Government, Refunding RB, Norton Healthcare, Inc., Series A, 5.00%, 10/01/32

     7,300       8,040,074  

Kentucky Public Transportation Infrastructure Authority, RB, CAB, 1st Tier-DownTown Crossing Project:

    

Convertible Series C, 0.00%, 7/01/33 (d)

     1,500       1,238,400  

Series B, 0.00%, 7/01/30 (a)

     1,230       645,750  
    

 

 

 
        9,924,224  

Louisiana — 3.2%

 

City of New Orleans Louisiana, Refunding RB:

    

5.00%, 12/01/27

     1,500       1,702,005  

5.00%, 12/01/29

     1,000       1,123,430  

City of Ruston Louisiana, RB, (AGM):

    

5.00%, 6/01/29

     1,060       1,217,018  

5.00%, 6/01/30

     1,000       1,141,750  

5.00%, 6/01/31

     1,020       1,158,271  

5.00%, 6/01/32

     1,225       1,384,752  

Louisiana Public Facilities Authority, Refunding RB:

    

Entergy Louisiana, Series B, 3.50%, 6/01/30

     6,190       6,130,947  

Ochsner Clinic Foundation Project, 5.00%, 5/15/29

     1,250       1,405,750  

Ochsner Clinic Foundation Project, 5.00%, 5/15/30

     1,000       1,114,890  

Ochsner Clinic Foundation Project, 3.00%, 5/15/31

     2,250       2,066,918  

Ochsner Clinic Foundation Project, 5.00%, 5/15/32

     1,500       1,647,075  

Ochsner Clinic Foundation Project, 5.00%, 5/15/33

     2,200       2,403,082  

Louisiana Stadium & Exposition District, Refunding RB, Senior, Series A:

    

5.00%, 7/01/29

     3,000       3,314,610  

5.00%, 7/01/30

     5,000       5,501,500  

Port New Orleans Board of Commissioners, Refunding RB, Series B, AMT:

    

5.00%, 4/01/31

     300       321,654  

5.00%, 4/01/32

     1,000       1,068,770  

5.00%, 4/01/33

     1,575       1,677,958  

Terrebonne Levee & Conservation District, RB, Sales Tax, 5.00%, 7/01/29

     1,925       2,088,317  

Tobacco Settlement Financing Corp., Refunding RB, Asset-Backed, Series A:

    

5.25%, 5/15/31

     3,425       3,672,867  

5.25%, 5/15/32

     4,375       4,737,119  

5.25%, 5/15/33

     4,750       5,119,360  

5.25%, 5/15/35

     1,500       1,623,795  
    

 

 

 
        51,621,838  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    27


Schedule of Investments (continued)

  

BlackRock Municipal 2030 Target Term Trust (BTT)

 

Municipal Bonds   

Par  

(000)

    Value  

Maryland — 1.5%

 

Anne Arundel County Consolidated, Special Taxing District, Special Tax Bonds, Villages At Two Rivers Project:

    

4.20%, 7/01/24

   $ 700     $ 690,984  

4.90%, 7/01/30

     1,315       1,298,918  

Maryland EDC, RB, Purple Line Light Rail Project, AMT, 5.00%, 3/31/30

     1,325       1,464,151  

Maryland EDC, Refunding RB:

    

CNX Marine Terminals, Inc., 5.75%, 9/01/25

     3,225       3,182,172  

Salisbury University Project, 5.00%, 6/01/34

     500       526,845  

Maryland Health & Higher Educational Facilities Authority, Refunding RB:

    

Charlestown Community, Series A, 5.00%, 1/01/31

     2,865       3,168,375  

Charlestown Community, Series A, 5.00%, 1/01/32

     3,010       3,313,619  

Charlestown Community, Series A, 5.00%, 1/01/33

     3,165       3,471,087  

Lifebridge Health Issue, 5.00%, 7/01/31

     350       398,727  

Lifebridge Health Issue, 5.00%, 7/01/32

     360       408,244  

Lifebridge Health Issue, 5.00%, 7/01/33

     385       434,934  

Meritus Medical Center, 5.00%, 7/01/29

     2,200       2,443,826  

Meritus Medical Center, 5.00%, 7/01/31

     1,400       1,537,984  

Meritus Medical Center, 5.00%, 7/01/33

     1,200       1,309,188  
    

 

 

 
        23,649,054  

Massachusetts — 1.1%

 

Massachusetts Development Finance Agency, RB, Emmanuel College Issue, Series A:

    

5.00%, 1/01/31

     475       519,251  

5.00%, 1/01/32

     635       690,880  

5.00%, 1/01/33

     1,070       1,158,671  

Massachusetts Development Finance Agency, Refunding RB, Emmanuel College Issue, Series A:

    

5.00%, 10/01/30

     780       850,309  

5.00%, 10/01/31

     3,635       3,935,978  

5.00%, 10/01/32

     980       1,056,244  

5.00%, 10/01/33

     1,285       1,378,587  

Massachusetts Educational Financing Authority, Refunding RB, Series K, AMT, 5.25%, 7/01/29

     6,820       7,418,796  
    

 

 

 
        17,008,716  

Michigan — 1.7%

 

Michigan Finance Authority, Refunding RB:

    

MidMichigan Health, 5.00%, 6/01/33

     2,750       3,038,970  

Oakwood Obligation Group, 5.00%, 8/15/30

     4,105       4,478,965  

Trinity Health Credit Group, 5.00%, 12/01/31

     3,000       3,417,960  

Michigan State Hospital Finance Authority, Refunding RB, Trinity Health Credit Group, Series C, 4.00%, 12/01/32

     8,195       8,356,441  

Saginaw Valley State University, Refunding RB, Series A:

    

5.00%, 7/01/31

     2,070       2,338,479  

5.00%, 7/01/32

     1,430       1,608,107  

State of Michigan, Refunding RB, 5.00%, 3/15/27

     3,750       4,457,400  
    

 

 

 
        27,696,322  

Minnesota — 0.2%

 

Sartell-St Stephen Independent School District No. 748, GO, Series B (a):

    

0.00%, 2/01/30

     1,850       1,200,909  

0.00%, 2/01/31

     2,190       1,347,726  

0.00%, 2/01/32

     1,450       858,110  
    

 

 

 
        3,406,745  
Municipal Bonds   

Par  

(000)

    Value  

Mississippi — 1.3%

 

Mississippi Development Bank, Refunding RB, Municipal Energy Agency of Mississippi, Series A (AGM):

    

5.00%, 3/01/30

   $ 2,280     $ 2,558,570  

5.00%, 3/01/31

     1,595       1,783,481  

5.00%, 3/01/32

     2,000       2,225,080  

5.00%, 3/01/33

     1,275       1,412,216  

State of Mississippi, RB, Series E, 5.00%, 10/15/33

     12,225       13,619,384  
    

 

 

 
        21,598,731  

Missouri — 0.7%

 

Missouri State Health & Educational Facilities Authority, Refunding RB:

    

CoxHealth, Series A, 4.00%, 11/15/33

     2,010       2,064,049  

St. Louis College of Pharmacy, 5.00%, 5/01/30

     3,000       3,213,960  

The Children’s Mercy Hospital, 5.00%, 5/15/29

     500       565,705  

The Children’s Mercy Hospital, 5.00%, 5/15/30

     915       1,027,829  

The Children’s Mercy Hospital, 5.00%, 5/15/31

     1,175       1,312,698  

The Children’s Mercy Hospital, 4.00%, 5/15/32

     1,680       1,709,971  

The Children’s Mercy Hospital, 4.00%, 5/15/33

     2,000       2,032,540  
    

 

 

 
        11,926,752  

Nebraska — 1.3%

 

Central Plains Nebraska Energy Project, RB:

    

Energy Project No. 3, 5.00%, 9/01/27

     7,010       7,691,652  

Gas Project No. 3, 5.00%, 9/01/32

     4,500       4,839,525  

Public Power Generation Agency, Refunding RB, 5.00%, 1/01/32

     7,630       8,606,488  
    

 

 

 
        21,137,665  

New Hampshire — 0.6%

 

New Hampshire State Turnpike System, RB, Series C:

    

4.00%, 8/01/33

     4,350       4,471,104  

4.00%, 8/01/35

     4,745       4,836,578  
    

 

 

 
        9,307,682  

New Jersey — 14.1%

 

Casino Reinvestment Development Authority, Refunding RB:

    

5.00%, 11/01/21

     2,465       2,570,108  

5.00%, 11/01/22

     1,890       1,974,407  

County of Gloucester New Jersey Pollution Control Financing Authority, Refunding RB, Keystone Urban Renewal Project, Series A, AMT, 5.00%, 12/01/24

     1,500       1,613,205  

New Jersey EDA, RB, AMT:

    

Continental Airlines, Inc. Project, 5.25%, 9/15/29

     12,230       12,869,996  

Continental Airlines, Inc. Project, Series B, 5.63%, 11/15/30

     1,315       1,426,880  

Continental Airlines, Inc. Project, Series A, 5.63%, 11/15/30

     1,740       1,888,039  

Private Activity Bond, The Goethals Bridge Replacement Project, 5.00%, 1/01/28

     4,705       5,138,095  

New Jersey EDA, Refunding RB:

    

Cigarette Tax, 5.00%, 6/15/23

     13,000       14,046,760  

Cigarette Tax, 5.00%, 6/15/26

     10,610       11,253,284  

Cigarette Tax, 4.25%, 6/15/27

     16,500       16,735,455  

Continental Airlines, Inc. Project, AMT, 5.75%, 9/15/27

     6,200       6,631,644  

New Jersey EDA, Refunding, Special Assessment Bonds, Kapkowski Road Landfill Project, 5.75%, 4/01/31

     5,000       5,442,900  

New Jersey Health Care Facilities Financing Authority, Refunding RB:

    

Princeton HealthCare System, 5.00%, 7/01/29

     2,900       3,316,411  

Princeton HealthCare System, 5.00%, 7/01/30

     2,400       2,717,496  
 

 

See Notes to Financial Statements.

 

                
28    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


Schedule of Investments (continued)

  

BlackRock Municipal 2030 Target Term Trust (BTT)

 

Municipal Bonds   

Par  

(000)

    Value  

New Jersey (continued)

 

New Jersey Health Care Facilities Financing Authority, Refunding RB (continued):

    

RWJ Barnabas Health Obligated Group, Series A, 5.00%, 7/01/30

   $ 11,245     $ 12,645,565  

RWJ Barnabas Health Obligated Group, Series A, 4.00%, 7/01/32

     10,005       10,217,606  

St. Barnabas Health, Series A, 4.00%, 7/01/26

     3,000       3,142,800  

St. Joseph Health System, 5.00%, 7/01/28

     1,500       1,628,955  

St. Joseph Health System, 5.00%, 7/01/29

     1,250       1,349,288  

St. Joseph Health System, 5.00%, 7/01/30

     1,100       1,179,332  

New Jersey Higher Education Student Assistance Authority, RB, Senior Student Loan, Series 1A, AMT:

    

5.00%, 12/01/22

     1,275       1,404,617  

5.00%, 12/01/23

     3,475       3,844,775  

5.00%, 12/01/24

     6,000       6,645,960  

5.00%, 12/01/25

     5,500       6,147,790  

5.00%, 12/01/26

     2,250       2,501,415  

New Jersey Housing & Mortgage Finance Agency, Refunding RB, M/F Housing, Series 2, AMT, 4.35%, 11/01/33

     5,755       5,857,266  

New Jersey Transportation Trust Fund Authority, RB:

    

Transportation Program, Series AA, 5.25%, 6/15/27

     4,225       4,458,347  

Transportation Program, Series AA, 5.25%, 6/15/28

     4,500       4,720,500  

Transportation System, CAB, Series A, 0.00%, 12/15/28 (a)

     41,000       22,712,770  

Transportation System, CAB, Series A, 0.00%, 12/15/29 (a)

     18,000       9,404,100  

Transportation System, Series AA, 4.00%, 6/15/30

     13,315       12,537,005  

Transportation System, Series C, 5.25%, 6/15/32

     10,000       10,271,800  

Transportation System, Series D, 5.00%, 6/15/32

     5,000       5,054,850  

Newark Housing Authority, Refunding RB, Newark Redevelopment Project (NPFGC), 5.25%, 1/01/27

     5,000       5,777,550  

South Jersey Transportation Authority, Refunding RB, Transportation System, Series A:

    

5.00%, 11/01/33

     500       543,775  

5.00%, 11/01/34

     500       541,670  

Township of Irvington New Jersey, GO, Refunding, Series A (AGM):

    

5.00%, 7/15/29

     1,750       1,969,537  

5.00%, 7/15/30

     2,000       2,243,260  

5.00%, 7/15/31

     1,450       1,620,868  

5.00%, 7/15/32

     835       929,881  
    

 

 

 
        226,975,962  

New Mexico — 1.0%

 

New Mexico Educational Assistance Foundation, RB, AMT:

    

Education Loan Series A-1, 3.75%, 9/01/31

     6,250       6,146,312  

Education Loan Series A-2, 3.80%, 11/01/32

     5,850       5,738,148  

Education Loan Series A-2, 3.80%, 9/01/33

     5,000       4,865,300  
    

 

 

 
        16,749,760  

New York — 2.7%

 

Build NYC Resource Corp., Refunding RB, Pratt Paper, Inc. Project, AMT, 4.50%, 1/01/25 (b)

     900       936,639  

New York City Transitional Finance Authority Future Tax Secured Revenue, RB, 0.56%, 8/01/43 (c)

     6,400       6,400,000  

New York Transportation Development Corp., RB, LaGuardia Airport Terminal B Redevelopment Project, Series A, AMT:

    

4.00%, 7/01/32

     5,500       5,353,370  

4.00%, 7/01/33

     6,000       5,863,380  
Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

 

New York Transportation Development Corp., Refunding RB, American Airlines, Inc., AMT:

    

5.00%, 8/01/26

   $ 3,080     $ 3,209,298  

5.00%, 8/01/31

     3,465       3,588,077  

Onondaga Civic Development Corp., Refunding RB, St. Joseph’s Hospital Health Center Project, 4.50%, 7/01/22 (e)

     9,115       10,415,164  

TSASC, Inc., Refunding RB:

    

Series 1, 5.00%, 6/01/26

     4,000       4,000,920  

Series A, 5.00%, 6/01/30

     3,000       3,336,870  
    

 

 

 
        43,103,718  

North Carolina — 0.6%

 

North Carolina Medical Care Commission, Refunding RB:

    

1st Mortgage, Retirement Facilities Whitestone Project, Series A, 7.75%, 3/01/31

     1,665       1,833,098  

Mission Health Combined Group, 4.00%, 10/01/31

     1,250       1,298,750  

Mission Health Combined Group, 5.00%, 10/01/32

     3,700       4,249,820  

Mission Health Combined Group, 4.00%, 10/01/33

     1,500       1,542,375  
    

 

 

 
        8,924,043  

Ohio — 1.1%

 

American Municipal Power, Inc., RB, Meldahl Hydroelectric Project, Green Bond, Series A:

    

5.00%, 2/15/29

     700       805,483  

5.00%, 2/15/30

     885       1,011,971  

5.00%, 2/15/31

     800       906,872  

5.00%, 2/15/32

     1,000       1,128,580  

5.00%, 2/15/33

     1,195       1,341,710  

County of Franklin Ohio, RB, Health Care Facilities Improvement, OPRS Communities, Series A:

    

5.25%, 7/01/28

     500       523,525  

5.63%, 7/01/32

     1,000       1,047,850  

County of Hamilton Ohio Sales Tax Revenue, Refunding RB, Series A, 5.00%, 12/01/30

     4,500       5,270,355  

Ohio Air Quality Development Authority, Refunding RB, AMT, 3.95%, 11/01/32 (c)

     1,500       619,680  

State of Ohio, RB, Portsmouth Bypass Project, AMT (AGM):

    

5.00%, 12/31/29

     1,625       1,805,083  

5.00%, 12/31/30

     2,400       2,662,272  
    

 

 

 
        17,123,381  

Oklahoma — 1.0%

 

County of Cleveland Educational Facilities Authority, LRB, Moore Public Schools Project, 5.00%, 6/01/18

     200       209,778  

County of Oklahoma Oklahoma Finance Authority, Refunding RB, Epworth Villa Project, Series A:

    

5.00%, 4/01/23

     935       926,875  

5.00%, 4/01/29

     1,500       1,512,465  

5.00%, 4/01/33

     1,050       1,053,959  

Norman Regional Hospital Authority, Refunding RB:

    

5.00%, 9/01/27

     2,100       2,369,724  

5.00%, 9/01/28

     2,000       2,237,200  

5.00%, 9/01/29

     2,150       2,381,039  

5.00%, 9/01/30

     5,130       5,653,670  
    

 

 

 
        16,344,710  

Pennsylvania — 15.3%

 

Allentown Neighborhood Improvement Zone Development Authority, Refunding RB, Series A:

    

5.00%, 5/01/27

     6,750       7,242,615  

5.00%, 5/01/28

     5,000       5,348,350  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    29


Schedule of Investments (continued)

  

BlackRock Municipal 2030 Target Term Trust (BTT)

 

Municipal Bonds   

Par  

(000)

    Value  

Pennsylvania (continued)

 

Allentown Neighborhood Improvement Zone Development Authority, Refunding RB, Series A (continued):

    

5.00%, 5/01/29

   $ 3,745     $ 3,989,923  

5.00%, 5/01/30

     5,300       5,624,042  

Chester County Health & Education Facilities Authority, Refunding RB, Simpson Senior Services Project, Series A, 5.00%, 12/01/30

     2,180       2,178,779  

City of Philadelphia, GO, Refunding(AGM) (f):

    

5.00%, 8/01/30

     10,735       12,300,270  

5.00%, 8/01/31

     10,000       11,406,600  

County of Allegheny Higher Education Building Authority, Refunding RB, Duquesne University, 4.00%, 3/01/21

     350       378,511  

County of Beaver Pennsylvania IDA, Refunding RB (c):

    

First Energy Nuclear Energy Project, Series B, 3.50%, 12/01/35

     6,790       2,804,474  

Series A, 4.00%, 1/01/35

     9,765       3,974,355  

County of Cumberland Pennsylvania Municipal Authority, Refunding RB:

    

Asbury Pennsylvania Obligated Group, 5.00%, 1/01/22

     750       789,135  

Asbury Pennsylvania Obligated Group, 5.25%, 1/01/27

     1,275       1,315,290  

Asbury Pennsylvania Obligated Group, 5.25%, 1/01/32

     3,350       3,402,729  

Diakon Lutheran Social Ministries Project, 5.00%, 1/01/29

     1,300       1,416,883  

Diakon Lutheran Social Ministries Project, 5.00%, 1/01/30

     2,675       2,896,410  

County of Dauphin General Authority, Refunding RB, Pinnacle Health System Project, Series A, 4.00%, 6/01/31

     2,275       2,341,043  

County of Delaware Pennsylvania Authority, Refunding RB, Villanova University:

    

4.00%, 12/01/30

     1,000       1,062,800  

4.00%, 12/01/31

     1,000       1,055,760  

County of Lancaster Hospital Authority, Refunding RB, University of Pennsylvania Health System Obligation, 3.00%, 8/15/30

     2,535       2,313,695  

County of Lehigh Pennsylvania, Refunding RB, Lehigh Valley Health Network:

    

4.00%, 7/01/33

     27,535       27,815,031  

Series A, 5.00%, 7/01/30

     800       899,640  

County of Montgomery Pennsylvania IDA, Refunding RB:

    

Acts Retirement-Life Communities, Inc. Obligated Group, 5.00%, 11/15/26

     2,500       2,737,625  

Acts Retirement-Life Communities, Inc. Obligated Group, 5.00%, 11/15/33

     15,015       16,283,767  

Albert Einstein Healthcare Network, Series A, 5.25%, 1/15/29

     3,250       3,521,603  

Albert Einstein Healthcare Network, Series A, 5.25%, 1/15/30

     6,185       6,658,895  

Whitemarsh Continuing Care Retirement Community Project, 5.00%, 1/01/30

     2,000       1,910,080  

County of Northampton Pennsylvania General Purpose Authority, RB, St. Luke’s Hospital of Bethlehem, Series A, 5.00%, 8/15/33

     13,250       14,250,110  

County of Westmoreland Municipal Authority, Refunding RB, (BAM):

    

5.00%, 8/15/27

     1,500       1,728,495  

5.00%, 8/15/28

     3,000       3,434,130  

Pennsylvania Economic Development Financing Authority, RB, Pennsylvania Rapid Bridge Replacement Project, AMT:

    

5.00%, 12/31/29

     5,000       5,446,300  
Municipal Bonds   

Par  

(000)

    Value  

Pennsylvania (continued)

 

Pennsylvania Economic Development Financing Authority, RB, Pennsylvania Rapid Bridge Replacement Project, AMT (continued):

    

5.00%, 12/31/30

   $ 13,100     $ 14,204,723  

5.00%, 12/31/34

     5,000       5,336,350  

Pennsylvania Economic Development Financing Authority, Refunding RB, University of Pittsburgh Medical Center:

    

5.00%, 3/15/30

     5,250       6,044,062  

5.00%, 3/15/31

     4,500       5,142,105  

Pennsylvania Higher Educational Facilities Authority, RB:

    

Series AT, 5.00%, 6/15/30

     7,910       9,076,092  

Shippensburg University Student Services, 5.00%, 10/01/30

     5,250       5,513,550  

Pennsylvania Higher Educational Facilities Authority, Refunding RB:

    

Drexel University, 5.00%, 5/01/30

     425       487,037  

Drexel University, 5.00%, 5/01/31

     1,000       1,139,650  

Drexel University, 5.00%, 5/01/32

     1,750       1,985,410  

Drexel University, 5.00%, 5/01/33

     3,320       3,749,641  

La Salle University, 4.00%, 5/01/32

     3,000       3,004,440  

Pennsylvania Turnpike Commission, Refunding RB, Motor License Fund, Enhanced Turnpike, 5.00%, 12/01/30

     5,000       5,686,850  

State Public School Building Authority, RB, School District of Philadelphia Project:

    

5.00%, 4/01/27

     4,130       4,387,712  

5.00%, 4/01/28

     8,000       8,473,040  

5.00%, 4/01/29

     6,000       6,344,700  

5.00%, 4/01/30

     5,500       5,805,360  

Township of East Hempfield Pennsylvania IDA, RB, Student Services, Inc. Student Housing Project:

    

5.00%, 7/01/30

     1,280       1,347,328  

5.00%, 7/01/30

     825       874,360  

Upper Moreland Township School District, GO:

    

5.00%, 10/01/30

     325       368,358  

5.00%, 10/01/31

     450       506,754  

5.00%, 10/01/32

     150       168,233  

5.00%, 10/01/33

     250       279,248  
    

 

 

 
        246,452,343  

Rhode Island — 1.7%

 

Rhode Island Health & Educational Building Corp., RB, Hospital Financing, LifeSpan Obligation, 5.00%, 5/15/30

     1,500       1,641,240  

Rhode Island Housing & Mortgage Finance Corp., RB, S/F Housing, Homeownership Opportunity Bonds, Series 68-B, 3.00%, 10/01/31

     13,500       12,626,955  

Tobacco Settlement Financing Corp., Refunding RB, Series A:

    

5.00%, 6/01/28

     2,750       2,993,265  

5.00%, 6/01/29

     4,500       4,854,060  

5.00%, 6/01/30

     4,215       4,519,492  
    

 

 

 
        26,635,012  

South Carolina — 0.1%

 

South Carolina Jobs EDA, Refunding RB, The Lutheran Homes of South Carolina, Inc., 5.00%, 5/01/28

     2,000       2,028,340  

Tennessee — 0.5%

 

Chattanooga-Hamilton County Hospital Authority, Refunding RB, Erlanger Health System, Series A, 5.00%, 10/01/31

     6,210       6,705,558  
 

 

See Notes to Financial Statements.

 

                
30    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


Schedule of Investments (continued)

  

BlackRock Municipal 2030 Target Term Trust (BTT)

 

Municipal Bonds   

Par  

(000)

    Value  

Tennessee (continued)

 

Counties of Nashville & Davidson Tennessee Metropolitan Government Health & Educational Facilities Board, RB, Vanderbilt University Medical Center, Series A, 5.00%, 7/01/31

   $ 1,300     $ 1,458,574  
    

 

 

 
        8,164,132  

Texas — 20.0%

 

Central Texas Regional Mobility Authority, RB, Senior Lien, Series A:

    

5.00%, 1/01/30

     1,600       1,769,920  

5.00%, 1/01/31

     1,175       1,292,606  

5.00%, 1/01/33

     1,500       1,636,485  

Central Texas Turnpike System, Refunding RB, Series C:

    

5.00%, 8/15/32

     12,500       13,689,500  

5.00%, 8/15/33

     14,000       15,283,800  

City of Brownsville Texas Utilities System Revenue, Refunding RB, Series A, 4.00%, 9/01/30

     11,170       11,486,781  

City of Houston Texas Airport System, Refunding ARB, United Airlines, Inc. Terminal E Project, AMT, 5.00%, 7/01/29

     2,665       2,794,546  

Clifton Higher Education Finance Corp., RB, Idea Public Schools, 6.00%, 8/15/33

     1,650       1,871,677  

Clifton Higher Education Finance Corp., Refunding RB, Series A:

    

Idea Public Schools (PSF- GTD), 4.00%, 8/15/31

     1,250       1,299,275  

Idea Public Schools (PSF- GTD), 4.00%, 8/15/33

     1,200       1,231,608  

Uplift Education, 3.10%, 12/01/22

     915       899,610  

Uplift Education, 3.95%, 12/01/32

     1,800       1,708,236  

County of Harris Texas, Refunding RB, Toll Road, Senior Lien, Series C, 4.00%, 8/15/33

     12,325       12,828,106  

County of Harris Texas Cultural Education Facilities Finance Corp., RB, 1st Mortgage, Brazos Presbyterian Homes, Inc. Project, Series B:

    

5.75%, 1/01/28

     500       548,850  

6.38%, 1/01/33

     460       519,151  

County of Harris Texas Cultural Education Facilities Finance Corp., Refunding RB, Series A:

    

Brazos Presbyterian Homes, Inc. Project, 5.00%, 1/01/33

     1,090       1,106,677  

Memorial Hermann Health System, 4.00%, 12/01/31

     18,000       18,176,580  

YMCA of the Greater Houston Area, 5.00%, 6/01/28

     1,500       1,626,675  

YMCA of the Greater Houston Area, 5.00%, 6/01/33

     3,000       3,186,900  

County of Matagorda Texas Navigation District No. 1, Refunding RB:

    

Series A (AMBAC), 4.40%, 5/01/30

     31,120       33,273,815  

Series B (AMBAC), AMT, 4.55%, 5/01/30

     10,000       10,539,900  

Series B-2, 4.00%, 6/01/30

     12,895       13,289,071  

County of Midland Texas Fresh Water Supply District No. 1, RB, CAB, City of Midland Project, Series A (a):

    

0.00%, 9/15/31

     6,235       3,601,648  

0.00%, 9/15/32

     15,135       8,309,115  

County of Tarrant Texas Cultural Education Facilities Finance Corp., RB, Baylor Health Care System Project, Series A:

    

4.00%, 11/15/31

     5,500       5,582,335  

4.00%, 11/15/32

     15,420       15,599,026  

County of Tarrant Texas Cultural Education Facilities Finance Corp., Refunding RB, Trinity Terrace Project, Series A-1, 5.00%, 10/01/29

     1,000       1,065,750  
Municipal Bonds   

Par  

(000)

    Value  

Texas (continued)

 

Leander ISD, GO, CAB, Refunding, Series D (PSF-GTD) (a):

    

0.00%, 8/15/31

   $ 1,200     $ 700,932  

0.00%, 8/15/32

     2,000       1,109,120  

0.00%, 8/15/33

     4,485       2,376,422  

Lower Colorado River Authority, Refunding RB, LCRA Transmission Services, 4.00%, 5/15/31

     9,970       10,389,438  

New Hope Cultural Education Facilities Corp., RB, Series A:

    

Station 1 LLC Texas A&M University Project, 5.00%, 4/01/29

     2,290       2,440,155  

Stephenville LLC Tarleton State University Project, 5.00%, 4/01/24

     420       462,403  

Stephenville LLC Tarleton State University Project, 5.00%, 4/01/25

     240       264,293  

Stephenville LLC Tarleton State University Project, 5.38%, 4/01/28

     1,150       1,257,272  

Stephenville LLC Tarleton State University Project, 5.00%, 4/01/29

     725       768,819  

New Hope Cultural Education Facilities Corp., Refunding RB, 1st Mortgage, Morningside Ministries Project, 6.25%, 1/01/33

     1,600       1,775,488  

North Texas Tollway Authority, Refunding RB, Series A:

    

5.00%, 1/01/30

     8,500       9,699,775  

2nd Tier, 5.00%, 1/01/33

     10,000       11,138,800  

Red River Health Facilities Development Corp., RB, Wichita Falls Retirement Foundation Project:

    

4.70%, 1/01/22

     635       660,337  

5.50%, 1/01/32

     1,000       1,049,020  

State of Texas, GO, Refunding, Series A, 5.00%, 10/01/23

     3,100       3,680,320  

Texas A&M University, Refunding RB, Financing System, Series B, 5.00%, 5/15/22

     5,000       5,827,200  

Texas Municipal Gas Acquisition & Supply Corp. III, RB, Natural Gas Utility Improvements:

    

5.00%, 12/15/30

     18,000       19,273,140  

5.00%, 12/15/31

     25,000       26,646,000  

Texas Public Finance Authority, Refunding RB, Midwestern State University:

    

4.00%, 12/01/29

     2,000       2,127,920  

4.00%, 12/01/30

     2,000       2,115,240  

4.00%, 12/01/31

     1,650       1,733,507  

Texas State University System, Refunding RB, Series A, 5.00%, 3/15/32

     1,250       1,460,863  

Texas Transportation Commission State Highway Fund, Refunding RB, 1st Tier:

    

5.00%, 10/01/22

     5,000       5,869,950  

Series A, 5.00%, 4/01/22

     5,000       5,812,800  

University of Texas System, Refunding RB, Financing System, Series C:

    

5.00%, 8/15/19

     10,000       10,936,900  

5.00%, 8/15/20

     7,410       8,319,726  
    

 

 

 
        322,113,483  

Utah — 0.5%

 

Utah Transit Authority, Refunding RB, Subordinate, 4.00%, 12/15/31

     7,750       8,139,360  

Vermont — 0.2%

 

Vermont EDA, Refunding, MRB, Wake Robin Corp. Project, 5.40%, 5/01/33

     2,400       2,501,088  

Virginia — 1.1%

 

County of Fairfax Virginia EDA, RB, Vinson Hall LLC, Series A, 5.00%, 12/01/32

     2,000       2,032,260  

County of Hanover Virginia EDA, Refunding RB, Covenant Woods, Series A:

    

4.50%, 7/01/30

     3,000       2,984,970  

4.50%, 7/01/32

     1,100       1,080,761  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    31


Schedule of Investments (continued)

  

BlackRock Municipal 2030 Target Term Trust (BTT)

 

Municipal Bonds   

Par  

(000)

    Value  

Virginia (continued)

 

County of Prince William Virginia IDA, Refunding RB, Novant Health Obligation Group, Series B, 4.00%, 11/01/33

   $ 5,445     $ 5,596,915  

Dulles Town Center Community Development Authority, Refunding, Special Assessment, Dulles Town Center Project, 4.25%, 3/01/26

     500       498,270  

Virginia College Building Authority, RB, Green Bonds, Marymount University Project, Series B, 5.25%, 7/01/30 (b)

     2,000       2,102,620  

Virginia Small Business Financing Authority, RB, Senior Lien, Express Lanes LLC, AMT, 5.00%, 7/01/34

     3,940       4,095,433  
    

 

 

 
        18,391,229  

Washington — 3.0%

 

Greater Wenatchee Regional Events Center Public Facilities District, Refunding RB, Series A:

    

3.50%, 9/01/18

     1,025       1,030,638  

5.00%, 9/01/27

     1,000       1,029,380  

5.25%, 9/01/32

     1,850       1,881,209  

Port of Seattle Washington Industrial Development Corp., Refunding RB, Special Facilities, Delta Airline, Inc. Project, AMT, 5.00%, 4/01/30

     5,000       5,172,500  

Spokane Public Facilities District, Refunding RB, Series B:

    

5.00%, 12/01/32

     5,895       6,548,638  

5.00%, 9/01/33

     4,665       5,168,120  

State of Washington, COP, State & Local Agency Real and Personal Property, Series B:

    

4.00%, 7/01/29

     3,605       3,765,603  

4.00%, 7/01/30

     4,290       4,465,847  

4.00%, 7/01/31

     4,470       4,632,931  

4.00%, 7/01/32

     4,590       4,734,264  

Washington State Housing Finance Commission, RB, Herons Key Senior Living, Series B-2, 4.88%, 1/01/22 (b)

     600       597,126  

Washington State Housing Finance Commission, Refunding RB, Emerald Heights Project:

    

5.00%, 7/01/28

     1,000       1,084,320  

5.00%, 7/01/33

     1,100       1,169,993  

WBRP 3.2, RB, Series A:

    

5.00%, 1/01/31

     1,000       1,149,370  

5.00%, 1/01/32

     1,140       1,304,798  

5.00%, 1/01/33

     3,345       3,809,922  
    

 

 

 
        47,544,659  

Wisconsin — 2.2%

 

Public Finance Authority, Refunding RB, AMT:

    

National Gypsum Co., 5.25%, 4/01/30

     6,690       7,028,179  

Waste Management, Inc. Project, 2.63%, 11/01/25

     3,000       2,859,450  

Wisconsin Airport Facilities, Senior Obligated Group, Series B, 5.25%, 7/01/28

     2,250       2,406,578  

Wisconsin Health & Educational Facilities Authority, Refunding RB:

    

Aspirus, Inc., Obligated Group, 5.00%, 8/15/28

     3,510       3,902,523  

Aspirus, Inc., Obligated Group, 5.00%, 8/15/29

     3,685       4,067,282  

Marquette University, 4.00%, 10/01/32

     4,520       4,667,985  

The Monroe Clinic, Inc., 5.00%, 2/15/28

     500       568,080  

The Monroe Clinic, Inc., 5.00%, 2/15/29

     575       647,789  

The Monroe Clinic, Inc., 5.00%, 2/15/30

     500       557,575  

Wisconsin Housing & Economic Development Authority, Refunding RB, S/F Housing, Series D, 3.00%, 9/01/32

     9,000       8,319,420  
    

 

 

 
        35,024,861  
Total Municipal Bonds — 132.2%       2,127,126,964  
Municipal Bonds Transferred to
Tender Option Bond Trusts (g)
  

Par  

(000)

    Value  

Colorado — 5.1%

 

City & County of Denver Colorado, Refunding ARB, Department of Aviation, Series A, AMT (h):

    

4.25%, 11/15/29

   $ 33,820     $ 35,138,878  

4.25%, 11/15/30

     35,210       36,583,083  

4.25%, 11/15/31

     8,085       8,400,291  

4.25%, 11/15/32

     2,230       2,316,963  
    

 

 

 
        82,439,215  

Florida — 6.1%

 

County of Broward Florida, ARB, Series Q-1 (h):

    

4.00%, 10/01/29

     17,200       17,778,574  

4.00%, 10/01/30

     18,095       18,703,681  

4.00%, 10/01/31

     18,820       19,453,068  

4.00%, 10/01/32

     19,575       20,233,465  

4.00%, 10/01/33

     20,355       21,039,702  
    

 

 

 
        97,208,490  

Iowa — 2.7%

 

Iowa State Board of Regents, RB, University of Iowa Hospitals and Clinics:

    

4.00%, 9/01/28

     3,375       3,495,624  

4.00%, 9/01/29

     6,524       6,758,207  

4.00%, 9/01/30

     6,324       6,551,059  

4.00%, 9/01/31

     8,649       8,959,155  

4.00%, 9/01/32

     7,749       8,026,989  

4.00%, 9/01/33

     9,374       9,710,067  
    

 

 

 
        43,501,101  

Texas — 10.0%

 

City of San Antonio Texas Public Facilities Corp., Refunding LRB, Convention Center Refinancing and Expansion Project:

    

4.00%, 9/15/30

     15,000       15,492,568  

4.00%, 9/15/31

     19,475       20,114,518  

4.00%, 9/15/32

     18,075       18,668,545  

4.00%, 9/15/33

     11,000       11,361,217  

4.00%, 9/15/34

     11,885       12,275,278  

4.00%, 9/15/35

     4,500       4,647,771  

Dallas Fort Worth International Airport, Refunding RB, AMT (h):

    

Series E, 4.00%, 11/01/32

     6,915       7,408,973  

Series E, 4.13%, 11/01/35

     10,435       11,180,424  

Series F, 5.00%, 11/01/29

     12,820       13,735,797  

Series F, 5.00%, 11/01/30

     15,565       16,676,886  

Series F, 5.00%the, 11/01/31

     10,000       10,714,350  

Series F, 5.00%, 11/01/32

     17,170       18,396,539  
    

 

 

 
        160,672,866  
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 23.9%
      383,821,672  
Total Long-Term Investments
(Cost — $2,532,554,551) — 156.1%
      2,510,948,636  
    
                  
Short-Term Securities    Shares         

BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.50% (i)(j)

     39,286,036       39,289,964  
Total Short-Term Securities
(Cost — $39,286,214) — 2.4%
      39,289,964  
Total Investments (Cost — $2,571,840,765) — 158.5%       2,550,238,600  

Liabilities in Excess of Other Assets — (0.5)%

 

    (7,174,239

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (11.4)%

 

    (184,528,037

RVMTP Shares at Liquidation Value, Net of Deferred Offering Costs — (46.6)%

 

    (749,564,603
    

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 1,608,971,721  
    

 

 

 
 

 

See Notes to Financial Statements.

 

                
32    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


Schedule of Investments (concluded)

  

BlackRock Municipal 2030 Target Term Trust (BTT)

 

 

Notes to Schedule of Investments      

 

(a)   Zero-coupon bond.

 

(b)   Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

(c)   Variable rate security. Rate as of period end.

 

(d)   Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

 

(e)   U.S. Government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par.

 

(f)   When-issued security.

 

(g)   Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.

 

(h)   All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expires between November 1, 2018 to November 15, 2020, is $128,621,860. See Note 4 of the Notes to Financial Statements for details.

 

(i)   During the six months ended January 31, 2017, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares Held
at July 31,
2016
     Net
Activity
     Shares Held
at January 31,
2017
     Value at
January 31,
2017
     Income      Net Realized
Gain1
    

Change in
Unrealized
Appreciation

(Depreciation)

 

BlackRock Liquidity Funds, MuniCash, Institutional Class

     96,809,834        (57,523,798      39,286,036      $ 39,289,964      $ 110,996      $ 7,026      $ 3,750  

1    Includes net capital gain distributions.

     

 

(j)   Current yield as of period end.

 

Fair Value Hierarchy as of Period End      

Various inputs are used in determining the fair value of investments. For information about the Trust’s policy regarding valuation of investments, refer to the Notes to Financial Statements.

The following table summarizes the Trust’s investments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3      Total  

Assets:

 

Investments:  

Long-Term Investments1

           $ 2,510,948,636             $ 2,510,948,636  

Short-Term Securities

  $ 39,289,964                        39,289,964  
 

 

 

 

Total

  $ 39,289,964        $ 2,510,948,636             $ 2,550,238,600  
 

 

 

 

1    See above Schedule of Investments for values in each state or political subdivision.

     

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1        Level 2        Level 3      Total  

Liabilities:

 

TOB Trust Certificates

           $ (184,114,916           $ (184,114,916

RVMTP Shares at Liquidation Value

             (750,000,000             (750,000,000
 

 

 

 

Total

           $ (934,114,916           $ (934,114,916
 

 

 

 

During the six months ended January 31, 2017, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    33


Schedule of Investments January 31, 2017 (Unaudited)

  

BlackRock Municipal Income Investment Trust (BBF)

(Percentages shown are based on Net Assets)

 

Municipal Bonds    Par  
(000)
    Value  

Alabama — 0.3%

 

City of Selma Alabama IDB, RB, Gulf Opportunity Zone, International Paper Co. Project, Series A, 5.38%, 12/01/35

   $ 420     $ 466,208  

Alaska — 0.3%

 

Northern Tobacco Securitization Corp., Refunding RB, Tobacco Settlement, Asset-Backed, Series A, 5.00%, 6/01/46

     510       429,456  

Arizona — 1.0%

 

Arizona Industrial Development Authority, Refunding RB, Basis Schools, Inc. Projects, Series A, 5.38%, 7/01/50 (a)(b)

     1,185       1,193,212  

City of Phoenix Arizona IDA, Refunding RB, Basis Schools, Inc. Projects, Series A, 5.00%, 7/01/35 (a)

     275       274,989  
    

 

 

 
        1,468,201  

California — 18.3%

 

California Educational Facilities Authority, RB, University of Southern California, Series A, 5.25%, 10/01/18 (c)

     2,015       2,158,246  

California Health Facilities Financing Authority, Refunding RB, Catholic Healthcare West, Series A, 6.00%, 7/01/19 (c)

     1,010       1,122,302  

California School Finance Authority, RB, Alliance For College-Ready Public School Projects, Series A, 5.00%, 7/01/51 (a)

     1,200       1,163,544  

California Statewide Communities Development Authority, RB, Lancer Educational student Housing Project, Series A (a):

    

Series ARB, Lancer Educational student Housing Project, Series ARB, 5.00%, 6/01/36

     990       974,269  

5.00%, 6/01/46

     1,220       1,171,359  

City of Los Angeles California Department of Water & Power, RB, Power System, Sub-Series A-1, 5.25%, 7/01/38

     2,060       2,176,987  

Kern Community College District, GO, Safety, Repair & Improvement, Series C, 5.50%, 11/01/33

     1,185       1,398,857  

Riverside County Public Financing Authority, RB, Capital Facilities Project, 5.25%, 11/01/40

     1,000       1,143,020  

San Diego Regional Building Authority, RB, County Operations Center & Annex, Series A, 5.38%, 2/01/19 (c)

     2,450       2,654,134  

State of California, GO, Various Purposes, 6.00%, 3/01/33

     1,960       2,218,544  

State of California Public Works Board, LRB, Various Capital Projects, Series I:

    

5.50%, 11/01/31

     2,100       2,479,134  

5.50%, 11/01/33

     1,500       1,768,770  

State of California Public Works Board, RB, Department of Corrections & Rehabilitation, Series F, 5.25%, 9/01/33

     610       714,060  

Tobacco Securitization Authority of Southern California, Refunding RB, Tobacco Settlement, Asset-Backed, Senior Series A-1, 5.00%, 6/01/37

     1,975       1,913,360  

Township of Washington California Health Care District, GO, Election of 2004, Series B, 5.50%, 8/01/40

     460       526,097  

University of California, Refunding RB, The Regents of Medical Center, Series J, 5.25%, 5/15/38

     2,780       3,194,331  
    

 

 

 
        26,777,014  

Colorado — 2.7%

 

City & County of Denver Colorado Airport System, ARB, Sub-System, Series B, 5.25%, 11/15/32

     1,750       1,997,520  

Colorado Health Facilities Authority, Refunding RB, Catholic Health Initiative, Series A, 5.50%, 7/01/34

     1,675       1,739,705  
Municipal Bonds    Par  
(000)
    Value  

Colorado (continued)

 

Denver Convention Center Hotel Authority, Refunding RB, 5.00%, 12/01/40

   $ 250     $ 269,935  
    

 

 

 
        4,007,160  

Florida — 5.5%

 

City of Jacksonville Florida, Refunding RB, Series A, 5.25%, 10/01/33

     370       424,038  

County of Miami-Dade Florida, RB, Seaport, Series A, 6.00%, 10/01/38

     5,675       6,621,874  

Reedy Creek Florida Improvement District, GO, Series A, 5.25%, 6/01/32

     875       1,006,810  
    

 

 

 
        8,052,722  

Illinois — 18.9%

 

City of Chicago Illinois O’Hare International Airport, GARB, 3rd Lien, Series C, 6.50%, 1/01/21 (c)

     4,545       5,406,232  

City of Chicago Illinois Transit Authority, RB:

    

5.25%, 12/01/31

     1,060       1,143,729  

Sales Tax Receipts, 5.25%, 12/01/36

     1,500       1,602,645  

Sales Tax Receipts, 5.25%, 12/01/40

     1,750       1,865,763  

County of Cook Illinois Community College District No. 508, GO, City College of Chicago:

    

5.50%, 12/01/38

     580       622,212  

5.25%, 12/01/43

     2,660       2,806,486  

Illinois Finance Authority, RB:

    

Carle Foundation, Series A, 6.00%, 8/15/41

     1,750       1,986,302  

Rush University Medical Center, Series B, 7.25%, 11/01/18 (c)

     1,600       1,765,696  

Illinois Finance Authority, Refunding RB, Northwestern Memorial Hospital, Series A, 6.00%, 8/15/39

     2,900       3,200,179  

Illinois State Toll Highway Authority, RB, Series C, 5.00%, 1/01/38

     1,250       1,368,675  

Metropolitan Pier & Exposition Authority, Refunding RB, McCormick Place Expansion Project Refunding Bonds, Series B-2, 5.25%, 6/15/50

     250       255,088  

Railsplitter Tobacco Settlement Authority, RB:

    

5.50%, 6/01/23

     1,055       1,189,080  

6.00%, 6/01/28

     300       341,073  

State of Illinois, GO:

    

5.25%, 2/01/31

     730       745,856  

5.25%, 2/01/32

     1,500       1,529,010  

5.50%, 7/01/33

     1,500       1,563,210  

5.50%, 7/01/38

     320       330,803  
    

 

 

 
        27,722,039  

Indiana — 3.7%

 

County of Allen, RB, StoryPoint Fort Wayne Project, Series A-1 (a)(b):

    

6.63%, 1/15/34

     125       123,814  

6.75%, 1/15/43

     185       183,420  

6.88%, 1/15/52

     375       370,323  

Indiana Finance Authority, Refunding RB, Marquette Project, 4.75%, 3/01/32

     500       495,200  

Indiana Municipal Power Agency, RB, Series B, 6.00%, 1/01/19 (c)

     3,400       3,710,998  

Town of Chesterton, RB, StoryPoint Chesterton Project, Series A-1, 6.38%, 1/15/51 (a)

     520       503,797  
    

 

 

 
        5,387,552  

Iowa — 1.1%

 

Iowa Finance Authority, Refunding RB, Midwestern Disaster Area, Iowa Fertilizer Co. Project:

    

5.50%, 12/01/22

     910       914,550  

5.25%, 12/01/25

     625       623,863  
    

 

 

 
        1,538,413  
 

 

See Notes to Financial Statements.

 

                
34    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


Schedule of Investments (continued)

  

BlackRock Municipal Income Investment Trust (BBF)

 

Municipal Bonds    Par  
(000)
    Value  

Kansas — 1.9%

 

Kansas Development Finance Authority, Refunding RB, Adventist Health System/Sunbelt Obligated Group, Series C, 5.50%, 11/15/29

   $ 2,500     $ 2,743,100  

Louisiana — 1.5%

 

Louisiana Local Government Environmental Facilities & Community Development Authority, RB, Westlake Chemical Corp. Project, Series A-1, 6.50%, 11/01/35

     1,095       1,259,195  

Tobacco Settlement Financing Corp., Refunding RB, Asset-Backed, Series A, 5.50%, 5/15/29

     915       966,862  
    

 

 

 
        2,226,057  

Maine — 1.5%

 

Maine Health & Higher Educational Facilities Authority, RB, Maine General Medical Center, 7.50%, 7/01/32

     1,945       2,204,132  

Maryland — 0.3%

 

City of Baltimore Maryland, Tax Allocation Bonds, Center/West Development, Series A, 5.38%, 6/01/36

     415       414,718  

Massachusetts — 3.6%

 

Massachusetts Development Finance Agency, RB:

    

Emerson College Issue, Series A, 5.00%, 1/01/47

     790       839,486  

UMass Boston Student Housing Project, 5.00%, 10/01/41

     500       523,385  

UMass Boston Student Housing Project, 5.00%, 10/01/48

     1,075       1,120,978  

Massachusetts Development Finance Agency, Refunding RB:

    

Boston College, Series T, 4.00%, 7/01/42

     525       533,494  

Emerson College Issue, 5.00%, 1/01/45

     375       392,186  

Trustees of Deerfield Academy, 5.00%, 10/01/40

     375       415,519  

Massachusetts Health & Educational Facilities Authority, RB, Tufts University, Series O, 5.38%, 8/15/18 (c)

     1,000       1,064,860  

Metropolitan Boston Transit Parking Corp., Refunding RB, 5.25%, 7/01/36

     300       335,958  
    

 

 

 
        5,225,866  

Michigan — 4.1%

 

City of Lansing Michigan, RB, Board of Water & Light Utilities System, Series A, 5.50%, 7/01/41

     1,400       1,583,652  

Michigan Finance Authority, Refunding RB, Henry Ford Health System, 4.00%, 11/15/46

     1,205       1,152,341  

Michigan State Building Authority, Refunding RB, Facilities Program Series:

    

6.00%, 10/15/18 (c)

     540       583,983  

6.00%, 10/15/18 (c)

     910       984,119  

6.00%, 10/15/38

     50       53,670  

Royal Oak Michigan Hospital Finance Authority, Refunding RB, William Beaumont Hospital, Series V, 8.25%, 9/01/18 (c)

     1,525       1,694,626  
    

 

 

 
        6,052,391  

Minnesota — 0.4%

 

City of Rochester MN Electric Utility Revenue, Refunding RB, Series A, 5.00%, 12/01/42 (b)

     575       654,149  

Mississippi — 1.7%

 

Mississippi Development Bank, RB, Jackson Water & Sewer System Project (AGM), 6.88%, 12/01/40

     2,000       2,531,900  

Nebraska — 0.5%

 

County of Sarpy Nebraska Hospital Authority No. 1, Refunding RB, Nebraska Medicine, 4.00%, 5/15/51

     735       716,199  

Nevada — 4.1%

 

City of Las Vegas Nevada, GO, Limited Tax, Performing Arts Center, 6.00%, 4/01/19 (c)

     2,600       2,866,396  
Municipal Bonds    Par  
(000)
    Value  

Nevada (continued)

 

County of Clark Nevada Airport System, ARB, Series B, 5.75%, 7/01/42

   $ 2,825     $ 3,144,903  
    

 

 

 
        6,011,299  

New Jersey — 4.8%

 

New Jersey Economic Development Authority, Refunding RB, School Facilities Construction:

    

5.50%, 6/15/19 (c)

     500       549,855  

5.50%, 12/15/29

     250       260,765  

New Jersey Housing & Mortgage Finance Agency, RB, S/F Housing, Series CC, 5.25%, 10/01/29

     1,750       1,811,250  

New Jersey Transportation Trust Fund Authority, RB, Transportation System:

    

Series A, 5.88%, 12/15/38

     1,990       2,113,917  

Series AA, 5.50%, 6/15/39

     2,245       2,332,757  
    

 

 

 
        7,068,544  

New York — 6.0%

 

Counties of New York Tobacco Trust IV, Refunding RB, Settlement Pass-Through Turbo, Series A, 6.25%, 6/01/41 (a)

     900       932,760  

Hudson Yards Infrastructure Corp., RB, Series A, 5.75%, 2/15/47

     1,620       1,833,629  

Metropolitan Transportation Authority, RB, Series A, 5.25%, 11/15/38

     500       565,325  

New York Liberty Development Corp., Refunding RB, 2nd Priority, Bank of America Tower at One Bryant Park Project, Class 3, 6.38%, 7/15/49

     1,480       1,613,230  

State of New York Dormitory Authority, ERB, Series B, 5.25%, 3/15/38

     3,250       3,497,488  

Westchester Tobacco Asset Securitization, Refunding RB, Sub Series c, 4.00%, 6/01/42

     280       274,302  
    

 

 

 
        8,716,734  

Ohio — 2.9%

 

County of Allen Ohio Hospital Facilities, Refunding RB, Catholic Healthcare Partners, Series A, 5.25%, 6/01/38

     2,405       2,598,362  

State of Ohio Turnpike Commission, RB, Junior Lien, Infrastructure Projects, Series A-1, 5.25%, 2/15/31

     1,385       1,579,745  
    

 

 

 
        4,178,107  

Pennsylvania — 3.7%

 

Pennsylvania Economic Development Financing Authority, RB, American Water Co. Project, 6.20%, 4/01/39

     800       872,400  

Pennsylvania Turnpike Commission, RB, Sub Series A:

    

5.63%, 12/01/31

     1,645       1,836,774  

5.50%, 12/01/42

     1,009       1,009,098  

Township of Bristol Pennsylvania School District, GO, 5.25%, 6/01/37

     1,530       1,688,156  
    

 

 

 
        5,406,428  

Rhode Island — 1.9%

 

Tobacco Settlement Financing Corp., Refunding RB, Series B:

    

4.50%, 6/01/45

     2,870       2,711,777  

5.00%, 6/01/50

     125       125,245  
    

 

 

 
        2,837,022  

South Carolina — 2.9%

 

County of Charleston South Carolina, RB, Special Source, 5.25%, 12/01/38

     1,825       2,091,487  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    35


Schedule of Investments (continued)

  

BlackRock Municipal Income Investment Trust (BBF)

 

Municipal Bonds    Par  
(000)
    Value  

South Carolina (continued)

 

State of South Carolina Public Service Authority, Refunding RB:

    

Series C, 5.00%, 12/01/46

   $ 1,500     $ 1,651,845  

Series E, 5.25%, 12/01/55

     400       438,124  
    

 

 

 
        4,181,456  

Texas — 10.8%

 

Central Texas Regional Mobility Authority, Refunding RB, Senior Lien, 6.00%, 1/01/21 (c)

     2,560       2,984,883  

City of Beaumont Texas, GO, Certificates of Obligation, 5.25%, 3/01/37

     1,140       1,291,107  

County of Tarrant Texas Cultural Education Facilities Finance Corp., RB, Scott & White Healthcare, 6.00%, 8/15/20 (c)

     2,710       3,131,080  

Fort Bend County Industrial Development Corp., RB, NRG Energy Project, Series B, 4.75%, 11/01/42

     400       403,860  

Lower Colorado River Authority, Refunding RB:

    

5.50%, 5/15/19 (c)

     5       5,475  

5.50%, 5/15/19 (c)

     80       87,596  

5.50%, 5/15/19 (c)

     5       5,475  

5.50%, 5/15/33

     1,910       2,059,381  

North Texas Tollway Authority, RB, Special Projects, Series A, 5.50%, 9/01/41

     1,500       1,706,235  

North Texas Tollway Authority, Refunding RB, 1st Tier, Series K-1 (AGC), 5.75%, 1/01/19 (c)

     1,250       1,357,937  

Red River Texas Education Financing Corp., RB, Texas Christian University Project, 5.25%, 3/15/38

     520       585,286  

Texas Private Activity Bond Surface Transportation Corp., RB, Senior Lien, NTE Mobility Partners LLC, North Tarrant Express Managed Lanes Project, 6.88%, 12/31/39

     2,005       2,267,134  
    

 

 

 
        15,885,449  

Virginia — 1.7%

 

Ballston Quarter Community Development Authority, Tax Allocation Bonds, Series A:

    

5.00%, 3/01/26

     240       234,103  

5.13%, 3/01/31

     470       455,557  

City of Lexington Virginia IDA, RB, Washington & Lee University, 5.00%, 1/01/43

     425       469,098  

Virginia Public School Authority, RB, Fluvanna County School Financing, 6.50%, 12/01/18 (c)

     1,200       1,318,224  
    

 

 

 
        2,476,982  

Wisconsin — 1.8%

 

Wisconsin Health & Educational Facilities Authority, Refunding RB, Froedtert & Community Health, Inc., Series C, 5.25%, 4/01/39

     2,565       2,697,790  

ZPuerto Rico — 0.3%

 

Children’s Trust Fund Tobacco Settlement, Refunding RB, Asset-Backed Bonds:

    

5.50%, 5/15/39

     190       189,041  

5.63%, 5/15/43

     185       184,985  
    

 

 

 
        374,026  
Total Municipal Bonds — 108.2%              158,451,114  
    
   
Municipal Bonds Transferred to
Tender Option Bond Trusts (d)
 

Alabama — 0.8%

 

Auburn University, Refunding RB, Series A, 4.00%, 6/01/41

     1,120       1,144,494  
Municipal Bonds Transferred to
Tender Option Bond Trusts (d)
   Par  
(000)
    Value  

California — 19.8%

 

California Educational Facilities Authority, RB, University of Southern California, Series B, 5.25%,
10/01/18 (c)(e)

   $ 3,000     $ 3,213,270  

Grossmont Union High School District, GO, Election of 2008, Series B, 5.00%, 8/01/20 (c)

     3,700       4,157,209  

Los Angeles Community College District California, GO, Election of 2008, Series C, 5.25%, 8/01/20 (c)(e)

     4,041       4,577,306  

Los Angeles Community College District California, GO, Refunding, Election of 2008, Series A, 6.00%, 8/01/19 (c)

     5,977       6,684,031  

Los Angeles Unified School District California, GO, Series I, 5.00%, 1/01/34

     600       649,062  

San Diego Public Facilities Financing Authority Water, RB, Series B, 5.50%, 8/01/19 (c)

     6,448       7,130,905  

University of California, RB, Series O, 5.75%, 5/15/19 (c)

     2,311       2,549,283  
    

 

 

 
        28,961,066  

District of Columbia — 3.6%

 

District of Columbia, RB, Series A, 5.50%, 12/01/30 (e)

     2,129       2,362,381  

District of Columbia Water & Sewer Authority, Refunding RB, Senior Lien, Series A, 5.50%, 10/01/18 (c)

     2,698       2,896,099  
    

 

 

 
        5,258,480  

Illinois — 4.6%

 

State of Illinois Finance Authority, RB, University of Chicago, Series B, 6.25%, 7/01/18 (c)

     4,300       4,606,590  

State of Illinois Toll Highway Authority, RB, Senior Priority, Series B, 5.50%, 1/01/18 (c)

     2,000       2,082,470  
    

 

 

 
        6,689,060  

Nevada — 4.4%

 

County of Clark Nevada Water Reclamation District, GO (c):

    

Limited Tax, 6.00%, 7/01/18

     4,000       4,280,000  

Series B, 5.50%, 7/01/19

     1,994       2,198,013  
    

 

 

 
        6,478,013  

New Hampshire — 1.3%

 

New Hampshire Health & Education Facilities Authority, RB, Dartmouth College, 5.25%, 6/01/19 (c)(e)

     1,680       1,834,585  

New Jersey — 3.8%

 

New Jersey Transportation Trust Fund Authority, RB, Transportation System:

    

Series A (AMBAC), 5.00%, 12/15/32

     3,000       3,074,760  

Series B, 5.25%, 6/15/36 (e)

     2,481       2,520,060  
    

 

 

 
        5,594,820  

New York — 15.1%

 

City of New York New York Municipal Water Finance Authority, RB, Water & Sewer System, Fiscal 2009, Series A:

    

5.75%, 6/15/18 (c)

     497       526,053  

5.75%, 6/15/40

     1,662       1,759,354  

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System, 2nd General Resolution:

    

Series FF, 5.00%, 6/15/45

     2,499       2,766,355  

Series FF-2, 5.50%, 6/15/40

     2,985       3,259,859  

City of New York New York Transitional Finance Authority, BARB, Fiscal 2009, Series S-3, 5.25%, 1/15/39

     2,499       2,669,568  

Metropolitan Transportation Authority, Refunding RB, Series C-1, 5.25%, 11/15/56

     1,700       1,924,757  

New York Liberty Development Corp., RB, 1 World Trade Center Port Authority Consolidated Bonds, 5.25%, 12/15/43

     3,375       3,768,656  
 

 

See Notes to Financial Statements.

 

                
36    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


Schedule of Investments (continued)

  

BlackRock Municipal Income Investment Trust (BBF)

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (d)
   Par  
(000)
    Value  

New York (continued)

 

New York Liberty Development Corp., Refunding RB, 4 World Trade Center Project, 5.75%, 11/15/51 (e)

   $ 1,980     $ 2,253,615  

New York State Dormitory Authority, ERB, Personal Income Tax, Series B, 5.25%, 3/15/38

     3,000       3,228,450  
    

 

 

 
        22,156,667  

Pennsylvania — 0.5%

 

Pennsylvania Turnpike Commission, RB, Sub Series A, 5.50%, 12/01/42

     505       717,136  

Texas — 5.4%

 

City of San Antonio Texas Public Service Board, Refunding RB, Series A, 5.25%, 2/01/19 (c)(e)

     3,074       3,317,984  

County of Harris Texas Cultural Education Facilities Finance Corp., RB, Texas Children’s Hospital Project, 5.50%, 10/01/39

     4,200       4,580,310  
    

 

 

 
        7,898,294  

Virginia — 1.0%

 

County of Fairfax Virginia IDA, Refunding RB, Health Care, Inova Health System:

    

5.50%, 5/15/19 (c)

     476       516,396  

5.50%, 5/15/35

     883       959,396  
    

 

 

 
        1,475,792  
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 60.3%
      88,208,407  
Total Long-Term Investments
(Cost — $229,384,755) — 168.5%
      246,659,521  

Short-Term Securities

   Shares     Value  

BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.50% (f)(g)

     1,360,714     $ 1,360,850  
Total Short-Term Securities
(Cost — $1,360,850) — 0.9%
      1,360,850  
Total Investments (Cost — $230,745,605) — 169.4%       248,020,371  

Liabilities in Excess of Other Assets — (0.4)%

 

    (771,793

Liability for TOB Trust Certificates, Including Interest
Expense and Fees Payable — (33.5)%

 

    (49,134,305

VRDP Shares at Liquidation Value, Net of Deferred
Offering Costs — (35.5)%

 

    (51,703,752
    

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 146,410,521  
    

 

 

 
 
Notes to Schedule of Investments

 

(a)   Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

(b)   When-issued security.

 

(c)   U.S. Government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par.

 

(d)   Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.

 

(e)   All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expires between February 1, 2017 to November 15, 2019, is $ 11,993,816. See Note 4 of the Notes to Financial Statements for details.

 

(f)   During the six months ended January 31, 2017, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate   Shares Held
at July 31,
2016
    Net
Activity
    Shares Held
at January 31,
2017
    Value at
January 31,
2017
    Income     Net Realized
Gain
    Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

    40,725       1,319,989       1,360,714     $ 1,360,850     $ 1,191     $ 1        

 

(g)   Current yield as of period end.

 

Derivative Financial Instruments Outstanding as of Period End

 

Futures Contracts            
Contracts
Short
       Issue   Expiration   Notional
Value
    Unrealized
Depreciation
        
  (31      5-Year U.S. Treasury Note   March 2017   $ 3,653,883     $ (9,410  
  (44      10-Year U.S. Treasury Note   March 2017   $ 5,476,625       (19,092  
  (26      Long U.S. Treasury Bond   March 2017   $ 3,921,938       (6,771  
  (4      Ultra U.S. Treasury Bond   March 2017   $ 642,750       (2,396        
 

Total

    $ (37,669  
          

 

 

 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    37


Schedule of Investments (concluded)

  

BlackRock Municipal Income Investment Trust (BBF)

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Liabilities — Derivative Financial Instruments   Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total         

Futures contracts

  Net unrealized depreciation1                           $ 37,669           $ 37,669          

1    Includes cumulative appreciation (depreciation) on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

     

                 
For the six months ended January 31, 2017, the effect of derivative financial instruments in the Statements of Operations was as follows:  
                 
Net Realized Gain (Loss) From:        Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total         

Futures contracts

                          $ 518,289           $ 518,289          

Net Change in Unrealized Appreciation (Depreciation) on:

                                                               

Futures contracts

                          $ (6,694         $ (6,694        

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:  

Average notional value of contracts — short

  $ 9,948,613  

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments1

           $ 246,659,521                 $ 246,659,521  

Short-Term Securities

  $ 1,360,850                            1,360,850  
 

 

 

 

Total

  $ 1,360,850        $ 246,659,521                 $ 248,020,371  
 

 

 

 
                
Derivative Financial Instruments2                                         

Liabilities:

                

Interest rate contracts

  $ (37,669                        $ (37,669

1  See above Schedule of Investments for values in each state or political subdivision.

   

1  Derivative financial instruments are futures contracts which are valued at the unrealized appreciation (depreciation) on the instrument.

   

The Trust may hold liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1        Level 2        Level 3        Total  

Liabilities:

                

TOB Trust Certificates

           $ (49,042,593               $ (49,042,593

VRDP Shares at Liquidation Value

             (52,000,000                 (52,000,000
 

 

 

 

Total

           $ (101,042,593               $ (101,042,593
 

 

 

 

During the six months ended January 31, 2017, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
38    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


Schedule of Investments January 31, 2017 (Unaudited)

  

BlackRock New Jersey Municipal Income Trust (BNJ)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

New Jersey — 138.5%

 

Corporate — 10.5%

 

County of Middlesex New Jersey Improvement Authority, RB, Heldrich Center Hotel, Sub-Series B, 6.25%, 1/01/37 (a)(b)

   $ 1,790     $ 70,151  

County of Salem New Jersey Pollution Control Financing Authority, Refunding RB, Atlantic City Electric, Series A, 4.88%, 6/01/29

     2,400       2,552,592  

New Jersey EDA, RB, Continental Airlines, Inc. Project, AMT, Series B, 5.63%, 11/15/30

     5,160       5,599,013  

New Jersey EDA, Refunding RB:

    

Duke Farms Foundation Project, 4.00%, 7/01/46

     740       744,803  

New Jersey American Water Co., Inc. Project, AMT, Series A, 5.70%, 10/01/39

     1,500       1,633,470  

New Jersey American Water Co., Inc. Project, AMT, Series B, 5.60%, 11/01/34

     1,275       1,388,564  
    

 

 

 
        11,988,593  

County/City/Special District/School District — 30.6%

 

Casino Reinvestment Development Authority, Refunding RB, 5.25%, 11/01/44

     5,630       5,532,601  

City of Bayonne New Jersey, GO, Refunding, Qualified General Improvement (BAM):

    

5.00%, 7/01/33

     490       546,433  

5.00%, 7/01/35

     755       835,581  

City of Margate New Jersey, GO, Refunding, Improvement, 5.00%, 1/15/28

     1,085       1,204,024  

County of Essex New Jersey Improvement Authority, RB, AMT, 5.25%, 7/01/45 (c)

     1,990       1,959,573  

County of Essex New Jersey Improvement Authority, Refunding RB, Project Consolidation (NPFGC):

    

5.50%, 10/01/28

     1,440       1,807,056  

5.50%, 10/01/29

     2,630       3,316,141  

County of Hudson New Jersey Improvement Authority, RB, Harrison Parking Facility Project, Series C (AGC):

    

5.25%, 1/01/39

     2,000       2,127,440  

5.38%, 1/01/44

     2,400       2,544,984  

County of Mercer New Jersey Improvement Authority, RB, Courthouse Annex Project, 5.00%, 9/01/40

     775       866,008  

County of Middlesex New Jersey, COP, Refunding, Civic Square IV Redevelopment, 5.00%, 10/15/31

     1,000       1,205,430  

County of Union New Jersey Improvement Authority, LRB, Guaranteed Lease, Family Court Building Project, 5.00%, 5/01/42

     740       826,743  

County of Union New Jersey Utilities Authority, Refunding RB, Solid Waste System, County Deficiency Agreement, Series A, 5.00%, 6/15/41

     2,185       2,367,404  

Monroe Township Board of Education Middlesex County, GO, Refunding, 5.00%, 3/01/38

     860       961,669  

New Brunswick New Jersey Parking Authority, Refunding RB, City Guaranteed, Series A (BAM), 5.00%, 9/01/39

     380       427,375  

New Jersey EDA, RB, Kapkowski Road Landfill Project, Series B, AMT, 6.50%, 4/01/31

     5,000       5,619,750  

New Jersey EDA, Refunding RB, Special Assessment, Kapkowski Road Landfill Project, 6.50%, 4/01/28

     2,500       2,883,775  
    

 

 

 
        35,031,987  

Education — 27.1%

 

County of Atlantic New Jersey Improvement Authority, RB, Stockton University Atlantic City, Series A (AGM), 4.00%, 7/01/46

     500       495,710  

New Jersey EDA, RB:

    

(AGC), 5.50%, 12/15/18 (d)

     1,045       1,129,478  

(AGC), 5.50%, 12/15/34

     20       21,191  

Leap Academy Charter School, Series A, 6.00%, 10/01/34

     185       182,604  
Municipal Bonds   

Par  

(000)

    Value  

New Jersey (continued)

 

Education (continued)

 

New Jersey EDA, RB (continued):

    

Leap Academy Charter School, Series A, 6.20%, 10/01/44

   $ 140     $ 136,553  

MSU Student Housing Project Provide, 5.88%, 6/01/42

     1,500       1,620,660  

Team Academy Charter School Project, 6.00%, 10/01/33

     1,490       1,624,547  

New Jersey EDA, Refunding RB, Greater Brunswick Charter School, Inc. Project, Series A (c):

    

5.63%, 8/01/34

     415       400,458  

5.88%, 8/01/44

     290       280,978  

New Jersey Educational Facilities Authority, RB, Higher Educational Capital Improvement Fund, Series A, 5.00%, 9/01/32

     2,070       2,082,896  

New Jersey Educational Facilities Authority, Refunding RB:

    

City of New Jersey University Issue, Series D, 4.00%, 7/01/34

     355       357,070  

College of New Jersey, Series D (AGM), 5.00%, 7/01/18 (d)

     500       527,985  

College of New Jersey, Series D (AGM), 5.00%, 7/01/18 (d)

     2,300       2,428,731  

College of New Jersey, Series F, 4.00%, 7/01/35

     190       191,182  

Georgian Court University, Series D, 5.00%, 7/01/33

     250       252,997  

Kean University, Series A, 5.50%, 9/01/36

     2,060       2,231,928  

Montclair State University, Series A, 5.00%, 7/01/44

     4,570       5,036,186  

Montclair State University, Series B, 5.00%, 7/01/34

     585       657,862  

New Jersey Institute of Technology, Series H, 5.00%, 7/01/31

     660       716,522  

Ramapo College, Series B, 5.00%, 7/01/42

     265       287,104  

University of Medicine & Dentistry, Series B, 7.50%, 6/01/19 (d)

     1,000       1,142,630  

New Jersey Higher Education Student Assistance Authority, Refunding RB:

    

Series 1, AMT, 5.75%, 12/01/29

     1,480       1,605,223  

Series 1A, 5.00%, 12/01/25

     325       340,528  

Series 1A, 5.00%, 12/01/26

     215       224,819  

Series 1A, 5.25%, 12/01/32

     500       526,280  

New Jersey Institute of Technology, RB, Series A:

    

5.00%, 7/01/40

     1,000       1,100,850  

5.00%, 7/01/42

     500       549,375  

5.00%, 7/01/45

     1,345       1,464,342  

Rutgers — The State University of New Jersey, Refunding RB, Series L, 5.00%, 5/01/43

     3,145       3,497,114  
    

 

 

 
        31,113,803  

Health — 12.3%

 

New Jersey EDA, Refunding RB, Lions Gate Project, 5.25%, 1/01/44

     430       439,228  

New Jersey Health Care Facilities Financing Authority, RB:

    

Hospitall Asset Transformation Program, Series A, 5.25%, 10/01/18 (d)

     525       561,099  

Hospitall Asset Transformation Program, Series A, 5.25%, 10/01/38

     1,825       1,836,132  

Meridian Health System Obligated Group, Series I (AGC), 5.00%, 7/01/38

     700       725,886  

Robert Wood Johnson University Hospital, Series A, 5.50%, 7/01/43

     750       839,175  

Virtua Health, Series A (AGC), 5.50%, 7/01/38

     1,250       1,349,613  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    39


Schedule of Investments (continued)

  

BlackRock New Jersey Municipal Income Trust (BNJ)

 

Municipal Bonds   

Par  

(000)

    Value  

New Jersey (continued)

 

Health (continued)

 

New Jersey Health Care Facilities Financing Authority, Refunding RB:

    

AHS Hospital Corp., 6.00%, 7/01/21 (d)

   $ 1,045     $ 1,239,809  

AHS Hospital Corp., 6.00%, 7/01/21 (d)

     900       1,067,778  

Princeton Healthcare System, 5.00%, 7/01/39

     835       900,639  

RWJ Barnabas Health Obligated Group, Series A, 4.00%, 7/01/43

     465       461,238  

RWJ Barnabas Health Obligated Group, Series A, 5.00%, 7/01/43

     1,235       1,341,173  

St. Barnabas Health Care System, Series A, 5.63%, 7/01/21 (d)

     580       678,884  

St. Barnabas Health Care System, Series A, 5.63%, 7/01/21 (d)

     1,605       1,878,636  

St. Joseph’s Healthcare System Obligated Group, 4.00%, 7/01/34

     120       113,082  

St. Joseph’s Healthcare System Obligated Group, 5.00%, 7/01/41

     200       209,162  

St. Joseph’s Healthcare System Obligated Group, 4.00%, 7/01/48

     450       404,663  
    

 

 

 
        14,046,197  

Housing — 3.9%

 

New Jersey Housing & Mortgage Finance Agency, RB:

    

M/F Housing, Series A, 4.75%, 11/01/29

     1,185       1,225,965  

S/F Housing, Series AA, 6.38%, 10/01/28

     150       154,581  

S/F Housing, Series AA, 6.50%, 10/01/38

     105       108,079  

S/F Housing, Series CC, 5.00%, 10/01/34

     745       763,387  

Newark Housing Authority, RB, M/F Housing, Series A, 5.00%, 12/01/30

     2,000       2,191,340  
    

 

 

 
        4,443,352  

State — 9.2%

 

Garden State Preservation Trust, RB, CAB, Series B (AGM), 0.00%, 11/01/26 (e)

     6,000       4,225,560  

New Jersey EDA, RB, Motor Vehicle Surcharge, Series A (NPFGC), 5.25%, 7/01/25

     1,365       1,530,438  

New Jersey EDA, Refunding RB, Cigarette Tax:

    

5.00%, 6/15/26

     810       859,110  

(AGM), 5.00%, 6/15/22

     2,940       3,273,426  

State of New Jersey, COP, Equipment Lease Purchase, Series A, 5.25%, 6/15/19 (d)

     600       655,740  
    

 

 

 
        10,544,274  

Transportation — 44.0%

 

Delaware River Port Authority of Pennsylvania & New Jersey, RB:

    

5.00%, 1/01/40

     1,380       1,512,369  

Series D, 5.00%, 1/01/40

     800       866,712  

New Jersey EDA, RB, Private Activity Bond, Goethals Bridge Replacement Project, AMT, 5.38%, 1/01/43

     5,000       5,284,750  

New Jersey State Turnpike Authority, RB:

    

Series A, 5.00%, 1/01/38

     4,075       4,507,602  

Series A, 5.00%, 1/01/43

     500       548,590  

Series E, 5.25%, 1/01/40

     1,970       2,088,614  

New Jersey Transportation Trust Fund Authority, RB:

    

CAB, Transportation System, Series C (AGM), 0.00%, 12/15/32 (e)

     4,000       1,898,720  

Federal Highway Reimbursement Revenue Notes, Series A, 5.00%, 6/15/30

     625       657,487  

Federal Highway Reimbursement Revenue Notes, Series A-2, 5.00%, 6/15/30

     2,535       2,596,043  

Transportation Program, Series AA, 5.00%, 6/15/38

     2,850       2,835,009  

Transportation Program, Series AA, 5.25%, 6/15/41

     1,560       1,579,937  
Municipal Bonds   

Par  

(000)

    Value  

New Jersey (continued)

 

Transportation (continued)

 

New Jersey Transportation Trust Fund Authority, RB (continued):

    

Transportation System, 6.00%, 12/15/38

   $ 945     $ 1,000,103  

Transportation System, Series A, 6.00%, 6/15/35

     4,135       4,475,724  

Transportation System, Series A, 5.88%, 12/15/38

     1,770       1,880,218  

Transportation System, Series A, 5.50%, 6/15/41

     2,000       2,042,640  

Transportation System, Series A (AGC), 5.50%, 12/15/38

     1,000       1,053,880  

Transportation System, Series AA, 5.50%, 6/15/39

     2,260       2,348,343  

Port Authority of New York & New Jersey, RB, JFK International Air Terminal, Special Project:

    

Series 6, AMT (NPFGC), 5.75%, 12/01/22

     6,000       6,089,280  

Series 8, 6.00%, 12/01/42

     1,430       1,608,750  

Port Authority of New York & New Jersey, Refunding ARB, Consolidated:

    

152nd Series, AMT, 5.75%, 11/01/30

     1,000       1,054,120  

166th Series, 5.25%, 7/15/36

     4,000       4,460,760  
    

 

 

 
        50,389,651  

Utilities — 0.9%

 

Rahway Valley Sewerage Authority, RB, CAB, Series A (NPFGC), 0.00%, 9/01/33 (e)

     2,000       1,097,800  
Total Municipal Bonds — 138.5%       158,655,657  
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (f)
            

New Jersey — 26.5%

 

County/City/Special District/School District — 6.1%

 

County of Hudson New Jersey Improvement Authority, RB, Hudson County Vocational-Technical Schools Project, 5.25%, 5/01/51

     780       887,024  

County of Union New Jersey Utilities Authority, Refunding LRB, Resource Recovery Facility, Covanta Union, Inc., Series A, AMT, 5.25%, 12/01/31

     5,710       6,129,513  
    

 

 

 
        7,016,537  

Education — 1.4%

 

Rutgers — The State University of New Jersey, RB, Series F, 5.00%, 5/01/19 (d)

     1,501       1,627,005  

State — 5.3%

 

New Jersey EDA, RB, School Facilities Construction (AGC) (d):

    

6.00%, 12/15/18

     2,958       3,226,842  

6.00%, 12/15/18

     42       45,663  

New Jersey EDA, Refunding RB, Series NN, School Facilities Construction, 5.00%, 3/01/29 (g)

     2,787       2,836,793  
    

 

 

 
        6,109,298  

Transportation — 13.7%

 

New Jersey State Turnpike Authority, RB, Series A, 5.00%, 1/01/38 (g)

     4,700       5,198,952  

New Jersey Transportation Trust Fund Authority, RB, Transportation System:

    

Series A (AMBAC), 5.00%, 12/15/32

     2,000       2,049,840  

Series B, 5.25%, 6/15/36 (g)

     2,501       2,540,383  

Port Authority of New York & New Jersey, RB, Consolidated, 169th Series, AMT, 5.00%, 10/15/41

     3,497       3,738,312  
 

 

See Notes to Financial Statements.

 

                
40    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


Schedule of Investments (continued)

  

BlackRock New Jersey Municipal Income Trust (BNJ)

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (f)
  

Par  

(000)

    Value  

New Jersey (continued)

 

Transportation (continued)

 

Port Authority of New York & New Jersey, Refunding RB, Consolidated, 152nd Series, AMT, 5.25%, 11/01/35

   $ 2,039     $ 2,124,004  
    

 

 

 
        15,651,491  
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 26.5%
      30,404,331  
Total Long-Term Investments
(Cost — $181,922,794) — 165.0%
      189,059,988  
    
Short-Term Securities
   Shares     Value  

BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.50% (h)(i)

     1,478,056     $ 1,478,204  
Total Short-Term Securities
(Cost — $1,478,066) — 1.3%
      1,478,204  
Total Investments (Cost — $183,400,860) — 166.3%       190,538,192  
Other Assets Less Liabilities — 0.9%       1,059,131  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (15.6)%

 

    (17,916,039

VMTP Shares at Liquidation Value — (51.6)%

 

    (59,100,000
    

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 114,581,284  
    

 

 

 
 
Notes to Schedule of Investments      

 

(a)   Issuer filed for bankruptcy and/or is in default.

 

(b)   Non-income producing security.

 

(c)   Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

(d)   U.S. Government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par.

 

(e)   Zero-coupon bond.

 

(f)   Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.

 

(g)   All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreements, which expires between June 15, 2019 to September 1, 2020, is $7,519,842. See Note 4 of the Notes to Financial Statements for details.

 

(h)   During the six months ended January 31, 2017, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate    Shares Held
at July 31,
2016
     Net
Activity
     Shares Held
at January 31,
2017
     Value at
January 31,
2017
     Income      Net Realized
Gain1
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, MuniCash, Institutional Class

     1,695,856        (217,800      1,478,056      $ 1,478,204      $ 2,582      $ 2,248      $ 138  

1    Includes net capital gain distributions.

     

  

 

(i)   Current yield as of period end.

For Trust compliance purposes, the Trust’s sector classifications refer to any one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

Derivative Financial Instruments Outstanding as of Period End      

 

Futures Contracts        
Contracts
Short
       Issue   Expiration   Notional
Value
    Unrealized
Depreciation
        
  (17      5-Year U.S. Treasury Note   March 2017   $ 2,003,742     $ (4,209  
  (68      10-Year U.S. Treasury Note   March 2017   $ 8,463,875       (22,076  
  (39      Long U.S. Treasury Bond   March 2017   $ 5,882,906       (7,894  
  (4      Ultra U.S. Treasury Bond   March 2017   $ 642,750       (4,855        
 

Total

    $ (39,034  
          

 

 

 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    41


Schedule of Investments (concluded)

  

BlackRock New Jersey Municipal Income Trust (BNJ)

 

 

Derivative Financial Instruments Categorized by Risk Exposure      

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Liabilities — Derivative Financial Instruments   Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Futures contracts

  Net unrealized depreciation1                           $ 39,034           $ 39,034  

1    Includes cumulative appreciation (depreciation) on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

     

For the six months ended January 31, 2017, the effect of derivative financial instruments in the Statements of Operations was as follows:  
Net Realized Gain (Loss) From:        Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Futures contracts

                              $ 513,502           $ 513,502  

Net Change in Unrealized Appreciation (Depreciation) on:

                                                       

Futures contracts

                              $ 59,410           $ 59,410  

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments      

 

Futures contracts:  

Average notional value of contracts — short

  $ 11,297,879  
 

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

Fair Value Hierarchy as of Period End      

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  

Assets:

 

Investments:  

Long-Term Investments1

           $ 189,059,988                 $ 189,059,988  

Short-Term Securities

  $ 1,478,204                            1,478,204  
 

 

 

 

Total

  $ 1,478,204        $ 189,059,988                 $ 190,538,192  
 

 

 

 
                
Derivative Financial Instruments2  

Liabilities:

 

Interest rate contracts

  $ (39,034                        $ (39,034

1   See above Schedule of Investments for values in each sector.

    

2   Derivative financial instruments are futures contracts which are valued at the unrealized appreciation (depreciation) on the instrument.

    

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such hold assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1      Level 2        Level 3      Total  

Liabilities:

 

TOB Trust Certificates

       $ (17,889,909           $ (17,889,909

VMTP Shares at Liquidation Value

         (59,100,000             (59,100,000
 

 

 

Total

       $ (76,989,909           $ (76,989,909
 

 

 

During the six months ended January 31, 2017, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
42    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


Schedule of Investments January 31, 2017 (Unaudited)

  

BlackRock New York Municipal Income Trust (BNY)

(Percentages shown are based on Net Assets)

 

Municipal Bonds   

Par  

(000)

    Value  

New York — 131.3%

 

Corporate — 3.4%

 

Build NYC Resource Corp., Refunding RB, Pratt Paper, Inc. Project, AMT, 5.00%, 1/01/35 (a)

   $ 280     $ 293,235  

City of New York New York Industrial Development Agency, Refunding RB, Transportation Infrastructure Properties LLC, Series A, AMT, 5.00%, 7/01/28

     795       842,684  

County of Essex New York Industrial Development Agency, RB, International Paper Co. Project, Series A, AMT, 6.63%, 9/01/32

     550       579,623  

County of Onondaga New York Industrial Development Agency, RB, Bristol-Meyers Squibb Co. Project, AMT, 5.75%, 3/01/24

     1,000       1,192,230  

New York Liberty Development Corp., Refunding RB, Goldman Sachs Headquarters Issue, 5.25%, 10/01/35

     1,655       1,973,654  

Niagara Area Development Corp., Refunding RB, Solid Waste Disposal Facility, Covanta Energy Project, Series A, AMT, 5.25%, 11/01/42 (a)

     1,500       1,510,365  
    

 

 

 
        6,391,791  

County/City/Special District/School District — 32.9%

 

Brooklyn Arena Local Development Corp., Refunding RB, Barclays Center Project, Series A, 5.00%, 7/15/42

     1,820       1,971,333  

City of New York New York, GO:

    

Series A-1, 4.75%, 8/15/25

     750       788,940  

Series A-1, 5.00%, 8/01/35

     1,000       1,116,960  

Series D, 5.38%, 6/01/32

     25       25,079  

Series G-1, 6.25%, 12/15/31

     15       16,415  

Sub-Series D-1, Fiscal 2014, 5.00%, 8/01/31

     690       790,671  

Sub-Series G-1, 6.25%, 12/15/18 (b)

     485       531,783  

Sub-Series G-1, 5.00%, 4/01/28

     630       717,671  

Sub-Series G-1, 5.00%, 4/01/29

     750       852,015  

Sub-Series I-1, 5.38%, 4/01/36

     530       572,373  

City of New York New York, GO, Refunding:

    

Series E, 5.50%, 8/01/25

     1,280       1,539,123  

Series E, 5.00%, 8/01/30

     1,000       1,137,800  

Series I, 5.00%, 8/01/30

     1,000       1,134,510  

City of New York New York Convention Center Development Corp., RB, Sub Lien, Hotel Unit Fee, Series B (AGM), 0.00%, 11/15/55 (c)

     2,000       339,660  

City of New York New York Convention Center Development Corp., Refunding RB, Hotel Unit Fee Secured:

    

5.00%, 11/15/40

     2,500       2,803,600  

5.00%, 11/15/45

     3,700       4,134,417  

City of New York New York Industrial Development Agency, RB, PILOT:

    

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 3/01/42 (c)

     1,960       649,603  

CAB, Yankee Stadium Project, Series A (AGC), 0.00%, 3/01/45 (c)

     1,500       431,955  

Queens Baseball Stadium (AGC), 6.38%, 1/01/39

     150       162,810  

Queens Baseball Stadium (AMBAC), 5.00%, 1/01/39

     3,000       3,006,270  

Queens Baseball Stadium (AMBAC), 5.00%, 1/01/46

     175       175,368  

Yankee Stadium Project (NPFGC), 5.00%, 3/01/46

     500       503,680  

Yankee Stadium Project (NPFGC), 4.75%, 3/01/46

     350       350,840  
Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

 

County/City/Special District/School District (continued)

 

City of New York New York Industrial Development Agency, Refunding ARB, Transportation Infrastructure Properties LLC, Series A, AMT, 5.00%, 7/01/22

   $ 650     $ 710,619  

City of New York New York Transitional Finance Authority, RB, Fiscal 2012, Sub-Series E-1, 5.00%, 2/01/42

     2,500       2,794,550  

County of Nassau New York, GO, Series A, 5.00%, 1/15/31

     1,000       1,161,670  

Hudson Yards Infrastructure Corp., RB, Series A:

    

5.00%, 2/15/47

     5,485       5,545,609  

5.75%, 2/15/47

     200       226,374  

(AGC), 5.00%, 2/15/47

     1,000       1,007,600  

(AGM), 5.00%, 2/15/47

     1,000       1,007,600  

(NPFGC), 4.50%, 2/15/47

     4,500       4,507,695  

Metropolitan Transportation Authority, Refunding RB, Transportation, Series D, 5.00%, 11/15/34

     800       887,560  

New York Liberty Development Corp., Refunding RB:

    

2nd Priority, Bank of America Tower at One Bryant Park Project, Class 2, 5.63%, 7/15/47

     2,000       2,198,760  

2nd Priority, Bank of America Tower at One Bryant Park Project, Class 3, 6.38%, 7/15/49

     1,200       1,308,024  

3 World Trade Center Project, Class 2, 5.38%, 11/15/40 (a)

     480       515,986  

4 World Trade Center Project, 5.00%, 11/15/31

     860       957,713  

4 World Trade Center Project, 5.00%, 11/15/44

     7,655       8,394,090  

4 World Trade Center Project, 5.75%, 11/15/51

     1,340       1,525,094  

7 World Trade Center Project, Class 1, 4.00%, 9/15/35

     1,935       2,044,192  

7 World Trade Center Project, Class 2, 5.00%, 9/15/43

     1,420       1,553,168  

7 World Trade Center Project, Class 3, 5.00%, 3/15/44

     2,070       2,226,430  
    

 

 

 
        62,325,610  

Education — 29.2%

 

Amherst Development Corp., Refunding RB, University at Buffalo Foundation Faculty-Student Housing Corp., Series A (AGM), 4.63%, 10/01/40

     1,100       1,145,463  

Build NYC Resource Corp., RB, The Chapin School, Ltd. Project:

    

4.00%, 11/01/26

     295       335,070  

5.00%, 11/01/26

     300       367,530  

Build NYC Resource Corp., Refunding RB:

    

City University New York-Queens College Student Residences, LLC Project, Series A, 5.00%, 6/01/38

     250       281,983  

New York Law School Project, 5.00%, 7/01/41

     400       421,452  

New York Law School Project, 4.00%, 7/01/45

     735       692,105  

City of New York New York Trust for Cultural Resources, RB, Juilliard School, Series A, 5.00%, 1/01/39

     750       797,347  

City of New York New York Trust for Cultural Resources, Refunding RB:

    

American Museum of Natural History, Series A, 5.00%, 7/01/37

     225       250,916  

Carnegie Hall, Series A, 4.75%, 12/01/39

     2,000       2,144,700  

Museum of Modern Art, Series 1A, 5.00%, 10/01/18 (b)

     1,000       1,065,330  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    43


Schedule of Investments (continued)

  

BlackRock New York Municipal Income Trust (BNY)

 

Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

 

Education (continued)

 

City of Niagara Falls New York, GO, Refunding (BAM), 3.00%, 5/15/37

   $ 400     $ 346,132  

City of Troy New York Capital Resource Corp., Refunding RB, Rensselaer Polytechnic Institute Project:

    

Series A, 5.13%, 9/01/40

     3,135       3,442,042  

Series B, 4.00%, 8/01/35

     470       478,187  

City of Yonkers New York Industrial Development Agency, RB, Sarah Lawrence College Project, Series A, 6.00%, 6/01/19 (b)

     625       693,431  

County of Cattaraugus New York, RB, St. Bonaventure University Project, 5.00%, 5/01/34

     170       180,928  

County of Dutchess New York Industrial Development Agency, RB, Bard College Civic Facility, Series A-2, 4.50%, 8/01/36

     2,155       1,760,635  

County of Monroe New York Industrial Development Corp., RB, University of Rochester Project, Series A, 5.00%, 7/01/31

     1,900       2,093,667  

County of Monroe New York Industrial Development Corp., Refunding RB, University of Rochester Project, Series A, 5.00%, 7/01/38

     320       358,285  

County of Nassau New York Industrial Development Agency, Refunding RB, New York Institute of Technology Project, Series A, 4.75%, 3/01/20 (b)

     1,165       1,283,236  

County of Orange New York Funding Corp., Refunding RB, Mount St. Mary College Project, Series A:

    

5.00%, 7/01/37

     360       376,474  

5.00%, 7/01/42

     220       229,849  

County of St. Lawrence New York Industrial Development Agency, RB, Clarkson University Project, 5.38%, 9/01/41

     750       841,425  

County of Tompkins New York Development Corp., RB, Ithaca College Project (AGM), 5.50%, 7/01/33

     700       777,322  

Geneva Development Corp., Refunding RB, Hobart and William Smith Colleges, 5.25%, 9/01/44

     500       555,695  

State of New York Dormitory Authority, Refunding RB, Barnard College, Series A, 5.00%, 7/01/33

     530       599,472  

State of New York Dormitory Authority, RB:

    

Convent of the Sacred Heart (AGM), 5.75%, 11/01/40

     210       236,538  

Convent of the Sacred Heart (AGM), 5.25%, 11/01/24

     155       174,645  

Convent of the Sacred Heart (AGM), 5.63%, 11/01/32

     750       853,012  

New York University Mount Sinai School of Medicine, 5.13%, 7/01/19 (b)

     2,000       2,184,400  

New York University, Series 1 (AMBAC), 5.50%, 7/01/40

     1,440       1,838,822  

New York University, Series A (AMBAC), 5.00%, 7/01/17 (b)

     1,000       1,017,600  

New York University, Series B, 5.00%, 7/01/37

     1,250       1,409,387  

Series B, 5.75%, 3/15/36

     600       653,766  

State University Dormitory Facilities, Series A, 5.00%, 7/01/39

     750       802,455  

State University Dormitory Facilities, Series A, 5.00%, 7/01/41

     2,000       2,212,680  

Teachers College, Series B, 5.00%, 7/01/42

     1,225       1,345,969  

Touro College & University System, Series A, 5.25%, 1/01/34

     800       847,272  

Touro College & University System, Series A, 5.50%, 1/01/39

     2,000       2,143,080  

University of Rochester, Series A, 5.13%, 7/01/39

     850       916,963  
Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

 

Education (continued)

 

State of New York Dormitory Authority, RB (continued):

    

University of Rochester, Series A, 5.75%, 7/01/39 (d)

   $ 650     $ 706,901  

State of New York Dormitory Authority, Refunding RB:

    

3rd General Resolution, State University Educational Facilities Issue, Series A, 5.00%, 5/15/29

     2,000       2,292,640  

Brooklyn Law School, 5.75%, 7/01/33

     475       510,630  

Cornell University, Series A, 5.00%, 7/01/40

     800       882,912  

Culinary Institute of America, 5.00%, 7/01/42

     300       315,963  

Fordham University, 5.00%, 7/01/44

     850       934,379  

Icahn School of Medicine at Mount Sinai, Series A, 5.00%, 7/01/35

     1,600       1,741,968  

New York University, Series A, 5.00%, 7/01/37

     1,790       2,018,243  

Rochester Institute of Technology, 5.00%, 7/01/42

     1,790       1,975,247  

Skidmore College, Series A, 5.00%, 7/01/28

     75       84,162  

Skidmore College, Series A, 5.25%, 7/01/29

     85       96,353  

St. John’s University, Series A, 5.00%, 7/01/37

     1,000       1,103,140  

State University Dormitory Facilities, Series A, 5.25%, 7/01/30

     2,355       2,714,067  

State University Dormitory Facilities, Series A, 5.25%, 7/01/32

     445       507,496  

Teachers College, 5.50%, 3/01/39

     450       482,841  

St. John’s Univerisity, Series A, 5.00%, 7/01/34

     250       279,058  

Town of Hempstead New York Local Development Corp., Refunding RB, Adelphi University Project, 5.00%, 10/01/35

     415       460,351  
    

 

 

 
        55,261,616  

Health — 16.0%

 

County of Dutchess New York Local Development Corp., RB, Health Quest Systems, Inc., Series B:

    

3.00%, 7/01/36

     390       331,531  

4.00%, 7/01/41

     2,585       2,541,365  

County of Dutchess New York Local Development Corp., Refunding RB, Health Quest System, Inc., Series A, 5.75%, 7/01/40

     300       327,510  

County of Genesee New York Industrial Development Agency, Refunding RB, United Memorial Medical Center Project, 5.00%, 12/01/27

     465       465,312  

County of Monroe New York Industrial Development Corp., RB, Rochester General Hospital Project, Series A, 5.00%, 12/01/32

     240       261,079  

County of Monroe New York Industrial Development Corp., Refunding RB, Unity Hospital of Rochester Project (FHA), 5.50%, 8/15/40

     1,650       1,851,085  

County of Nassau New York Local Economic Assistance Corp., Refunding RB, Winthrop University Hospital Association Project, 5.00%, 7/01/42

     2,800       2,960,188  

County of Suffolk New York EDC, RB, Catholic Health Services, Series C, 5.00%, 7/01/32

     230       248,458  

County of Westchester New York Healthcare Corp., Refunding RB, Senior Lien:

    

Remarketing, Series A, 5.00%, 11/01/30

     3,130       3,391,355  

Series B, 6.00%, 11/01/20 (b)

     435       506,623  

Series B, 6.00%, 11/01/30

     65       71,998  

County of Westchester New York Local Development Corp., Refunding RB, Kendal On Hudson Project:

    

5.00%, 1/01/28

     675       736,580  

5.00%, 1/01/34

     1,250       1,327,413  
 

 

See Notes to Financial Statements.

 

                
44    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


Schedule of Investments (continued)

  

BlackRock New York Municipal Income Trust (BNY)

 

Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

 

Health (continued)

 

State of New York Dormitory Authority, RB:

    

General Purpose, Series A, 5.00%, 2/15/42

   $ 1,500     $ 1,707,210  

Hudson Valley Hospital (BHAC) (FHA), 5.00%, 8/15/36

     750       764,415  

New York State Association for Retarded Children, Inc., Series A, 6.00%, 7/01/32

     500       547,940  

New York State Association for Retarded Children, Inc., Series B (AMBAC), 6.00%, 7/01/32

     200       219,176  

New York University Hospitals Center, Series A, 6.00%, 7/01/20 (b)

     500       576,285  

North Shore-Long Island Jewish Obligated Group, Series D, 4.25%, 5/01/39

     500       518,305  

State of New York Dormitory Authority, Refunding RB:

    

Miriam Osborn Memorial Home Association, 5.00%, 7/01/29

     290       302,041  

Mount Sinai Hospital, Series A, 5.00%, 7/01/26

     1,385       1,506,714  

New York University Hospitals Center, Series A, 5.00%, 7/01/17 (b)

     3,390       3,449,935  

North Shore-Long Island Jewish Obligated Group, Series A, 5.00%, 5/01/32

     1,750       1,915,672  

North Shore-Long Island Jewish Obligated Group, Series A, 5.00%, 5/01/41

     1,000       1,079,620  

North Shore-Long Island Jewish Obligated Group, Series A, 5.00%, 5/01/43

     1,430       1,544,157  

North Shore-Long Island Jewish Obligated Group, Series E, 5.50%, 5/01/33

     1,100       1,174,712  
    

 

 

 
        30,326,679  

Housing — 2.4%

 

City of New York New York Housing Development Corp., RB, M/F Housing, Fund Grant Program, New York City Housing Authority Program, Series B1:

    

5.25%, 7/01/32

     1,140       1,289,386  

5.00%, 7/01/33

     500       553,350  

City of New York New York Housing Development Corp., Refunding RB, M/F Housing, 8 Spruce Street, Class F, 4.50%, 2/15/48

     925       943,037  

State of New York HFA, RB, M/F Housing:

    

Affordable Housing, Series D (SONYMA), 3.20%, 11/01/46

     300       261,294  

Highland Avenue Senior Apartments, Series A, AMT (SONYMA), 5.00%, 2/15/39

     1,500       1,500,810  
    

 

 

 
        4,547,877  

State — 10.2%

 

City of New York New York Transitional Finance Authority, BARB, Series S-2 (NPFGC), 4.25%, 1/15/34

     1,015       1,016,888  

City of New York New York Transitional Finance Authority, RB, Future Tax Secured, 5.00%, 2/01/32

     5,000       5,694,850  

State of New York Dormitory Authority, RB, General Purpose:

    

Series B, 5.00%, 3/15/42

     4,380       4,872,969  

Series C, 5.00%, 3/15/34

     2,185       2,433,172  

State of New York Dormitory Authority, Refunding RB, School Districts Financing Program, Series A (AGM), 5.00%, 10/01/18 (b)

     395       420,944  

State of New York Thruway Authority, Refunding RB, 2nd General Highway & Bridge Trust, Series A, 5.00%, 4/01/32

     2,500       2,815,300  
Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

 

State (continued)

 

State of New York Urban Development Corp., RB, State Personal Income Tax, Series C:

    

5.00%, 3/15/30

   $ 885     $ 1,015,591  

5.00%, 3/15/32

     1,000       1,144,130  
    

 

 

 
        19,413,844  

Tobacco — 2.0%

 

Counties of New York Tobacco Trust IV, Refunding RB, Settlement Pass-Through Turbo, Series A, 6.25%, 6/01/41 (a)

     1,000       1,036,400  

Counties of New York Tobacco Trust VI, Refunding RB, Tobacco Settlement Pass-Through:

    

4.00%, 6/01/51

     1,500       1,355,610  

Series B, 5.00%, 6/01/45

     130       137,348  

County of Chautauqua New York Tobacco Asset Securitization Corp., Refunding RB, 4.75%, 6/01/39

     150       150,314  

County of Niagara New York Tobacco Asset Securitization Corp., Refunding RB, Asset-Backed:

    

5.25%, 5/15/34

     250       275,047  

5.25%, 5/15/40

     110       120,211  

Westchester Tobacco Asset Securitization, Refunding RB, Sub Series c, 4.00%, 6/01/42

     750       734,737  
    

 

 

 
        3,809,667  

Transportation — 26.7%

 

Metropolitan Transportation Authority, RB:

    

Series A-1, 5.25%, 11/15/33

     540       615,881  

Series D, 5.25%, 11/15/41

     1,000       1,126,790  

Series E, 5.00%, 11/15/38

     4,000       4,438,600  

Transportation, Series C, 6.50%, 11/15/28

     195       213,232  

Metropolitan Transportation Authority, Refunding RB:

    

Green Bonds, Series A-1, 4.00%, 11/15/46

     315       318,893  

Green Bonds, Series A-1, 5.25%, 11/15/56

     750       844,950  

Series D, 5.25%, 11/15/30

     910       1,048,302  

Series F, 5.00%, 11/15/30

     2,000       2,306,880  

Sub-Series C-1, 5.00%, 11/15/35

     575       646,685  

Metropolitan Transportation Authority Hudson Rail Yards Trust Obligations, Refunding RB, Series A:

    

5.00%, 11/15/56

     2,695       2,886,561  

5.00%, 11/15/51

     390       417,335  

New York Transportation Development Corp., RB, LaGuardia Airport Terminal B Redevelopment Project, Series A, AMT:

    

5.00%, 7/01/46

     2,260       2,357,135  

5.25%, 1/01/50

     2,140       2,257,572  

(AGM), 4.00%, 7/01/41

     800       780,464  

New York Transportation Development Corp., Refunding RB, American Airlines, Inc., AMT, 5.00%, 8/01/31

     2,305       2,386,874  

Port Authority of New York & New Jersey, ARB, JFK International Air Terminal LLC, Special Project, AMT (NPFGC):

    

Series 6, 5.75%, 12/01/22

     6,000       6,089,280  

Series 8, 6.00%, 12/01/42

     1,000       1,125,000  

Port Authority of New York & New Jersey, Refunding ARB:

    

178th Series, AMT, 5.00%, 12/01/33

     750       830,782  

179th Series, 5.00%, 12/01/38

     575       652,774  

Consolidated, 147th Series, AMT, 4.75%, 4/15/37

     1,330       1,334,695  

Consolidated, 177th Series, AMT, 4.00%, 1/15/43

     640       646,074  
 

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    45


Schedule of Investments (continued)

  

BlackRock New York Municipal Income Trust (BNY)

 

Municipal Bonds   

Par  

(000)

    Value  

New York (continued)

 

Transportation (continued)

 

Port Authority of New York & New Jersey, Refunding ARB (continued):

    

Consolidated, 178th Series, AMT, 5.00%, 12/01/43

   $ 500     $ 546,800  

Consolidated, 189th Series, 5.00%, 5/01/45

     1,150       1,287,494  

State of New York Thruway Authority, RB, Junior Lien, Series A, 5.25%, 1/01/56

     2,185       2,452,313  

State of New York Thruway Authority, Refunding RB:

    

General, Series I, 5.00%, 1/01/27

     1,000       1,133,280  

General, Series I, 5.00%, 1/01/37

     1,760       1,948,602  

General, Series I, 5.00%, 1/01/42

     280       305,416  

General, Series K, 5.00%, 1/01/32

     2,575       2,910,265  

Series J, 5.00%, 1/01/41

     2,000       2,203,480  

Triborough Bridge & Tunnel Authority, RB:

    

Series A, 5.00%, 11/15/42

     1,000       1,145,360  

Series B, 5.00%, 11/15/40

     350       397,344  

Series B, 5.00%, 11/15/45

     310       351,171  

Triborough Bridge & Tunnel Authority, Refunding RB:

    

CAB, Sub-Series A, 0.00%, 11/15/32 (c)

     845       475,752  

General, CAB, Series B, 0.00%, 11/15/32 (c)

     1,700       985,694  

General, Series A, 5.25%, 11/15/45

     590       680,205  

General, Series A, 5.00%, 11/15/50

     500       561,565  
    

 

 

 
        50,709,500  

Utilities — 8.5%

 

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System:

    

2nd General Resolution, Fiscal 2011, Series BB, 5.00%, 6/15/31

     1,000       1,110,470  

2nd General Resolution, Fiscal 2015, Series HH, 5.00%, 6/15/39

     1,000       1,134,390  

Series A, 4.75%, 6/15/30

     1,215       1,231,099  

Long Island Power Authority, RB, General, Electric Systems:

    

Series A (AGM), 5.00%, 5/01/36

     500       549,030  

Series C (CIFG), 5.25%, 9/01/29

     2,000       2,380,680  

Long Island Power Authority, Refunding RB, Electric System:

    

Series A, 5.75%, 4/01/39

     4,000       4,302,720  

Series B, 5.00%, 9/01/41

     200       223,206  

Series B, 5.00%, 9/01/46

     895       994,237  

State of New York Environmental Facilities Corp., Refunding RB:

    

Revolving Funds, New York City Municipal Water, Series B, 5.00%, 6/15/36

     350       391,391  

Subordinated SRF Bonds, 3.00%, 6/15/35

     500       460,555  

Utility Debt Securitization Authority, Refunding RB, Restructuring:

    

3.00%, 12/15/32

     1,000       984,900  

Series E, 5.00%, 12/15/41

     2,000       2,263,920  
    

 

 

 
        16,026,598  
Total Municipal Bonds in New York       248,813,182  
    

Puerto Rico — 2.6%

 

Housing — 1.4%

 

Puerto Rico Housing Finance Authority, Refunding RB, M/F Housing, Subordinate, Capital Fund Modernization, 5.13%, 12/01/27

     2,605       2,747,858  
Municipal Bonds   

Par  

(000)

    Value  

Puerto Rico (continued)

 

Tobacco — 1.2%

 

Children’s Trust Fund Tobacco Settlement, Refunding RB, Asset-Backed Bonds, 5.63%, 5/15/43

   $ 2,220     $ 2,219,822  
Total Municipal Bonds in Puerto Rico       4,967,680  
Total Municipal Bonds — 133.9%       253,780,862  
    
                  
Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
            

New York — 31.8%

 

County/City/Special District/School District — 6.3%

 

City of New York New York, GO:

    

Sub-Series G-1, 5.00%, 4/01/29

     4,370       4,964,408  

Sub-Series I-1, 5.00%, 3/01/36

     1,500       1,679,970  

City of New York New York Convention Center Development Corp., Refunding RB, Hotel Unit Fee Secured, 5.00%, 11/15/32

     1,200       1,367,244  

City of New York New York Transitional Finance Authority, RB, Future Tax Secured, Sub-Series D-1, 5.00%, 11/01/38

     825       918,951  

New York Liberty Development Corp., Refunding RB, 7 World Trade Center Project, Class 1, 5.00%, 9/15/40

     2,610       2,908,662  
    

 

 

 
        11,839,235  

Education — 2.1%

 

City of New York New York Trust for Cultural Resources, Refunding RB, Wildlife Conservation Society, Series A, 5.00%, 8/01/33

     3,527       4,037,272  

State — 3.0%

 

City of New York New York Transitional Finance Authority, BARB, Fiscal 2009, Series S-3, 5.25%, 1/15/39

     660       704,766  

Hudson Yards Infrastructure Corp., RB, Fiscal 2012, Series A, 5.75%, 2/15/47 (f)

     1,250       1,414,709  

Sales Tax Asset Receivable Corp., Refunding RB, Fiscal 2015, Series A:

    

5.00%, 10/15/31

     750       874,927  

4.00%, 10/15/32

     1,000       1,075,440  

State of New York Dormitory Authority, RB, General Purpose, Series C, 5.00%, 3/15/41

     1,500       1,647,945  
    

 

 

 
        5,717,787  

Transportation — 7.2%

 

New York Liberty Development Corp., RB, 1 World Trade Center Port Authority Consolidated Bonds, 5.25%, 12/15/43

     6,495       7,252,568  

Port Authority of New York & New Jersey, ARB, Consolidated, 169th Series, AMT, 5.00%, 10/15/26

     1,500       1,671,015  

Port Authority of New York & New Jersey, Refunding ARB, 194th Series, 5.25%, 10/15/55

     1,455       1,650,290  

State of New York Thruway Authority, Refunding RB, Transportation, Personal Income Tax, Series A, 5.00%, 3/15/31

     1,180       1,336,999  

Triborough Bridge & Tunnel Authority, Refunding RB, Series A, 5.00%, 11/15/46

     1,500       1,708,950  
    

 

 

 
        13,619,822  
 

 

See Notes to Financial Statements.

 

                
46    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


Schedule of Investments (continued)

  

BlackRock New York Municipal Income Trust (BNY)

 

Municipal Bonds Transferred to
Tender Option Bond Trusts (e)
  

Par  

(000)

    Value  

New York (continued)

 

Utilities — 13.2%

 

City of New York New York Municipal Water Finance Authority, RB, Water & Sewer System, Fiscal 2009, Series A:

    

5.75%, 6/15/18 (b)

   $ 276     $ 292,251  

5.75%, 6/15/40

     923       977,419  

City of New York New York Municipal Water Finance Authority, Refunding RB, Water & Sewer System:

    

2nd General Resolution, Fiscal 2011, Series HH, 5.00%, 6/15/32

     5,310       5,940,350  

2nd General Resolution, Fiscal 2012, Series BB, 5.00%, 6/15/44

     3,511       3,918,823  

2nd General Resolution, Series FF-2, 5.50%, 6/15/40

     810       884,585  

Series A, 4.75%, 6/15/17 (b)

     471       477,439  

Series A, 4.75%, 6/15/30

     2,029       2,055,686  

Utility Debt Securitization Authority, Refunding RB:

    

5.00%, 12/15/41

     6,868       7,774,218  

Restructuring, 5.00%, 12/15/36

     1,997       2,299,299  

Restructuring, Series B, 4.00%, 12/15/35

     370       392,870  
    

 

 

 
        25,012,940  
Total Municipal Bonds Transferred to
Tender Option Bond Trusts — 31.8%
      60,227,056  
Total Long-Term Investments
(Cost — $298,380,274) — 165.7%
      314,007,918  

Short-Term Securities

   Shares     Value  

BlackRock Liquidity Funds, MuniCash, Institutional Class, 0.50% (g)(h)

     838,710     $ 838,794  
Total Short-Term Securities
(Cost — $838,710) — 0.4%
      838,794  
Total Investments (Cost — $299,218,984) — 166.1%       314,846,712  
Other Assets Less Liabilities — 1.3%       2,584,053  

Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (17.6)%

 

    (33,351,112

VMTP Shares, at Liquidation Value — (49.8)%

 

    (94,500,000
    

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 189,579,653  
    

 

 

 
 
Notes to Schedule of investments

 

(a)   Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

(b)   U.S. Government securities, held in escrow, are used to pay interest on this security, as well as to retire the bond in full at the date indicated, typically at a premium to par.

 

(c)   Zero-coupon bond.

 

(d)   Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

 

(e)   Represent bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Trust. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details.

 

(f)   All or a portion of security is subject to a recourse agreement. The aggregate maximum potential amount the Trust could ultimately be required to pay under the agreement, which expires on February 15, 2019, is $661,933. See Note 4 of the Notes to Financial Statements for details.

 

(g)   During the six months ended January 31, 2017, investments in issuers considered to be an affiliate of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliate   Shares Held
at July 31,
2016
    Net
Activity
    Shares Held
at January 31,
2017
    Value at
January 31,
2017
    Income     Net Realized
Gain1
   

Change in
Unrealized
Appreciation

(Depreciation)

 

BlackRock Liquidity Funds, MuniCash, Institutional Class

    214,518       624,192       838,710     $ 838,794     $ 6,411     $ 807     $ 84  

1    Includes net capital gain distributions.

     

 

(h)   Current yield as of period end.

For Trust compliance purposes, the Trust’s sector classifications refer to one or more of the sector sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    47


Schedule of Investments (continued)

  

BlackRock New York Municipal Income Trust (BNY)

 

 

Derivative Financial Instruments Outstanding as of Period End

 

Futures Contracts              
Contracts
Short
       Issue   Expiration   Notional
Value
    Unrealized
Depreciation
        
  (32      5-Year U.S. Treasury Note   March 2017   $ 3,771,750     $ (8,661  
  (113      10-Year U.S. Treasury Note   March 2017   $ 14,064,969       (37,066  
  (63      Long U.S. Treasury Bond   March 2017   $ 9,503,156       (15,287  
  (13      Ultra U.S. Treasury Bond   March 2017   $ 2,088,938       (11,108        
 

Total

    $ (72,122  
          

 

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

Liabilities — Derivative Financial Instruments   Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Futures contracts

  Net unrealized depreciation1                           $ 72,122           $ 72,122  

1    Includes cumulative appreciation (depreciation) on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

     

For the six months ended January 31, 2017, the effect of derivative financial instruments in the Statements of Operations was as follows:  
Net Realized Gain (Loss) From:   Commodity
Contracts
    Credit
Contracts
    Equity
Contracts
    Foreign
Currency
Exchange
Contracts
    Interest
Rate
Contracts
    Other
Contracts
    Total  

Futures contracts

                          $ 970,466           $ 970,466  

Net Change in Unrealized Appreciation (Depreciation) on:

                                                       

Futures contracts

                          $ 83,010           $ 83,010  

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:  

Average notional value of contracts — long

  $ 120,940 1 

Average notional value of contracts — short

  $ 19,885,250  

1   Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter.

    

For more information about the Trust’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 

Long-Term Investments1

           $ 314,007,918                 $ 314,007,918  

Short-Term Securities

  $ 838,794                            838,794  
 

 

 

 

Total

  $ 838,794        $ 314,007,918                 $ 314,846,712  
 

 

 

 
                
Derivative Financial Instruments2                                         

Liabilities:

                

Interest rate contracts

  $ (72,122                        $ (72,122

1   See above Schedule of Investments for values in each sector.

    

2   Derivative financial instruments are futures contracts which are valued at the unrealized appreciation (depreciation) on the instrument.

    

 

See Notes to Financial Statements.

 

                
48    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


Schedule of Investments (concluded)

  

BlackRock New York Municipal Income Trust (BNY)

 

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

     Level 1        Level 2        Level 3        Total  

Liabilities:

                

TOB Trust Certificates

           $ (33,297,199               $ (33,297,199

VMTP Shares at Liquidation Value

             (94,500,000                 (94,500,000
 

 

 

 

Total

       $ (127,797,199               $ (127,797,199
 

 

 

 

During the six months ended January 31, 2017, there were no transfers between levels.

 

See Notes to Financial Statements.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    49


Statements of Assets and Liabilities     

 

January 31, 2017 (Unaudited)  

BlackRock
California
Municipal

Income Trust
(BFZ)

   

BlackRock
Florida

Municipal 2020
Term Trust
(BFO)

   

BlackRock
Municipal 2030
Target

Term Trust
(BTT)

    BlackRock
Municipal
Income
Investment Trust
(BBF)
 
       
Assets  

Investments at value — unaffiliated1

  $ 823,693,004     $ 82,488,791     $ 2,510,948,636     $ 246,659,521  

Investments at value — affiliated2

    563,151       658,362       39,289,964       1,360,850  

Cash pledged for futures contracts

    998,000                   227,850  
Receivables:  

Interest — unaffiliated

    11,451,239       967,249       24,087,710       2,930,824  

Dividends — affiliated

    88       272       23,431       252  

Investments sold

          20,000              

TOB Trust

                      1,015,000  

Prepaid expenses

    34,400       857       52,452       15,794  
 

 

 

 

Total assets

    836,739,882       84,135,531       2,574,402,193       252,210,091  
 

 

 

 
       
Accrued Liabilities                                

Bank overdraft

    216,529             843,699       63,445  
Payables:  

Investments purchased

    2,278,153             23,557,493       3,895,528  

Income dividends — Common Shares

    2,143,874       172,426       5,640,446       739,131  

Interest expense and fees

    436,225             413,121       91,712  

Investment advisory fees

    409,516       35,509       862,632       119,580  

Variation margin on futures contracts

    147,094                   33,445  

Officer’s and Trustees’ fees

    71,451       8,971       684       29,237  

Other accrued expenses

    166,543       63,975       432,878       81,147  
 

 

 

 

Total accrued liabilities

    5,869,385       280,881       31,750,953       5,053,225  
 

 

 

 
       
Other Liabilities                                

TOB Trust Certificates

    178,458,032             184,114,916       49,042,593  

VMTP Shares, at liquidation value of $100,000 per share3

    171,300,000                    

RVMTP Shares, at liquidation value of $5,000,000 per share, net of deferred offering costs3

                749,564,603        

VRDP Shares, at liquidation value of $100,000 per share, net of deferred offering costs3

                      51,703,752  
 

 

 

 

Total other liabilities

    349,758,032             933,679,519       100,746,345  
 

 

 

 

Total liabilities

    355,627,417       280,881       965,430,472       105,799,570  
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 481,112,465     $ 83,854,650     $ 1,608,971,721     $ 146,410,521  
 

 

 

 
       
Net Assets Applicable to Common Shareholders Consist of  

Paid-in capital4

  $ 446,985,849     $ 80,832,532     $ 1,671,220,745     $ 141,776,037  

Undistributed net investment income

    799,652       2,204,217       8,562,160       966,309  

Accumulated net realized loss

    (1,951,903     (1,248,611     (49,209,019     (13,568,922

Net unrealized appreciation (depreciation)

    35,278,867       2,066,512       (21,602,165     17,237,097  
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 481,112,465     $ 83,854,650     $ 1,608,971,721     $ 146,410,521  
 

 

 

 

Net asset value per Common Share

  $ 15.08     $ 15.08     $ 22.82     $ 14.34  
 

 

 

 

1    Investments at cost — unaffiliated

  $ 788,260,370     $ 80,422,345     $ 2,532,554,551     $ 229,384,755  

2    Investments at cost — affiliated

  $ 563,151     $ 658,296     $ 39,286,214     $ 1,360,850  

3    Preferred Shares outstanding, unlimited number of shares authorized, par value $0.001 per share

    1,713             150       520  

4    Common Shares outstanding, unlimited number of shares authorized, par value $0.001 per share

    31,902,885       5,562,128       70,505,571       10,212,513  

 

 

See Notes to Financial Statements.      
                
50    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


Statements of Assets and Liabilities     

 

January 31, 2017 (Unaudited)  

BlackRock

New Jersey
Municipal

Income Trust
(BNJ)

   

BlackRock

New York
Municipal

Income Trust
(BNY)

 
   
Assets                

Investments at value — unaffiliated1

  $ 189,059,988     $ 314,007,918  

Investments at value — affiliated2

    1,478,204       838,794  

Cash pledged for futures contracts

    307,750       542,250  

Receivables:

   

Interest — unaffiliated

    1,609,404       3,328,070  

Dividends — affiliated

    747       768  

Prepaid expenses

    6,492       8,980  
 

 

 

 

Total assets

    192,462,585       318,726,780  
 

 

 

 
   
Accrued Liabilities                

Bank overdraft

    76,747       119,648  

Payables:

   

Income dividends — Common Shares

    533,694       777,572  

Interest expense and fees

    26,130       53,913  

Investment advisory fees

    97,686       161,947  

Variation margin on futures contracts

    45,523       80,375  

Officer’s and Trustees’ fees

    19,492       29,610  

Other accrued expenses

    92,120       126,863  
 

 

 

 

Total accrued liabilities

    891,392       1,349,928  
 

 

 

 
   
Other Liabilities                

TOB Trust Certificates

    17,889,909       33,297,199  

VMTP Shares, at liquidation value of $100,000 per share3

    59,100,000       94,500,000  
 

 

 

 

Total other liabilities

    76,989,909       127,797,199  
 

 

 

 

Total liabilities

    77,881,301       129,147,127  
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 114,581,284     $ 189,579,653  
 

 

 

 
   
Net Assets Applicable to Common Shareholders Consist of  

Paid-in capital4

  $ 108,901,346     $ 183,809,123  

Undistributed net investment income

    881,478       1,724,260  

Accumulated net realized loss

    (2,299,838     (11,509,336

Net unrealized appreciation (depreciation)

    7,098,298       15,555,606  
 

 

 

 

Net Assets Applicable to Common Shareholders

  $ 114,581,284     $ 189,579,653  
 

 

 

 

Net asset value per Common Share

  $ 14.94     $ 14.63  
 

 

 

 

1    Investments at cost — unaffiliated

  $ 181,922,794     $ 298,380,274  

2    Investments at cost — affiliated

  $ 1,478,066     $ 838,710  

3    Preferred Shares outstanding, unlimited number of shares authorized, par value $0.001 per share

    591       945  

4    Common Shares outstanding, unlimited number of shares authorized, par value $0.001 per share

    7,668,015       12,959,540  

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    51


Statements of Operations     

 

Six Months Ended January 31, 2017 (Unaudited)  

BlackRock
California
Municipal

Income Trust
(BFZ)

   

BlackRock
Florida

Municipal 2020
Term Trust
(BFO)

   

BlackRock
Municipal 2030
Target

Term Trust
(BTT)

   

BlackRock
Municipal

Income
Investment Trust
(BBF)

 
       
Investment Income                                

Interest — unaffiliated

  $ 17,054,030     $ 1,314,008     $ 44,111,100     $ 5,889,748  

Dividends — affiliated

    3,326       1,043       110,996       1,191  
 

 

 

 

Total investment income

    17,057,356       1,315,051       44,222,096       5,890,939  
 

 

 

 
       
Expenses                                

Investment advisory

    2,512,422       213,627       5,300,161       727,029  

Professional

    61,815       24,690       94,678       32,330  

Officer and Trustees

    25,063       3,642       69,677       7,182  

Custodian

    20,203       2,753       52,785       7,561  

Rating agency

    19,294             19,794       19,018  

Accounting services

    18,559       7,867       116,335       19,729  

Transfer agent

    17,144       8,836       44,703       10,823  

Registration

    6,756       5,188       17,041       5,224  

Printing

    6,427       3,475       13,214       3,834  

Liquidity fees

                      738  

Remarketing fees on Preferred Shares

                      7  

Miscellaneous

    17,775       7,670       49,862       13,614  
 

 

 

 

Total expenses excluding interest expense, fees and amortization of offering costs

    2,705,458       277,748       5,778,250       847,089  

Interest expense, fees and amortization of offering costs1

    2,589,843             6,467,552       736,980  
 

 

 

 

Total expenses

    5,295,301       277,748       12,245,802       1,584,069  

Less fees waived by the Manager

    (661     (228     (17,255     (219
 

 

 

 

Total expenses after fees waived

    5,294,640       277,520       12,228,547       1,583,850  
 

 

 

 

Net investment income

    11,762,716       1,037,531       31,993,549       4,307,089  
 

 

 

 
       
Realized and Unrealized Gain (Loss)                                
Net realized gain (loss) from:  

Investments — unaffiliated

    4,574       2,369       2,943,212       192,714  

Investments — affiliated

    290       (6     5,271       1  

Futures contracts

    2,105,216                   518,289  

Capital gain distributions from investment companies—affiliated

    2,449       402       1,755        
 

 

 

 
    2,112,529       2,765       2,950,238       711,004  
 

 

 

 
Net change in unrealized appreciation (depreciation) on:  

Investments — unaffiliated

    (41,332,563     (2,360,588     (181,252,845     (12,194,221

Investments — affiliated

          66       3,750        

Futures contracts

    (71,894                 (6,694
 

 

 

 
    (41,404,457     (2,360,522     (181,249,095     (12,200,915
 

 

 

 

Net realized and unrealized loss

    (39,291,928     (2,357,757     (178,298,857     (11,489,911
 

 

 

 

Net Decrease in Net Assets Applicable to Common Shareholders Resulting from Operations

  $ (27,529,212   $ (1,320,226   $ (146,305,308   $ (7,182,822
 

 

 

 

1    Related to TOB Trusts, VMTP Shares, RVMPT Shares and/or VRDP Shares.

     

 

 

See Notes to Financial Statements.      
                
52    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


Statements of Operations     

 

Six Months Ended January 31, 2017 (Unaudited)  

BlackRock

New Jersey
Municipal

Income Trust
(BNJ)

   

BlackRock

New York
Municipal

Income Trust
(BNY)

 
   
Investment Income  

Interest — unaffiliated

  $ 4,366,277     $ 6,443,573  

Dividends — affiliated

    2,582       6,411  
 

 

 

 

Total investment income

    4,368,859       6,449,984  
 

 

 

 
   
Expenses  

Investment advisory

    596,721       983,562  

Professional

    28,757       34,028  

Officer and Trustees

    6,287       10,016  

Custodian

    6,053       9,739  

Rating agency

    19,196       19,228  

Accounting services

    16,032       23,408  

Transfer agent

    10,338       12,503  

Registration

    5,181       5,191  

Printing

    3,906       4,561  

Miscellaneous

    10,987       16,905  
 

 

 

 

Total expenses excluding interest expense, fees and amortization of offering costs

    703,458       1,119,141  

Interest expense, fees and amortization of offering costs1

    596,540       962,251  
 

 

 

 

Total expenses

    1,299,998       2,081,392  

Less fees waived by the Manager

    (470     (1,372
 

 

 

 

Total expenses after fees waived

    1,299,528       2,080,020  
 

 

 

 

Net investment income

    3,069,331       4,369,964  
 

 

 

 
   
Realized and Unrealized Gain (Loss)  
Net realized gain (loss) from:  

Investments — unaffiliated

    417,586       49,025  

Investments — affiliated

    226       77  

Futures contracts

    513,502       970,466  

Capital gain distributions from investment companies — affiliated

    2,022       730  
 

 

 

 
    933,336       1,020,298  
 

 

 

 
Net change in unrealized appreciation (depreciation) on:  

Investments — unaffiliated

    (12,116,304     (17,822,317

Investments — affiliated

    138       84  

Futures contracts

    59,410       83,010  
 

 

 

 
    (12,056,756     (17,739,223
 

 

 

 

Net realized and unrealized loss

    (11,123,420     (16,718,925
 

 

 

 

Net Decrease in Net Assets Applicable to Common Shareholders Resulting from Operations

  $ (8,054,089   $ (12,348,961
 

 

 

 

1    Related to TOB Trusts, VMTP Shares, RVMPT Shares and/or VRDP Shares.

     

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    53


Statements of Changes in Net Assets     

 

    BlackRock California Municipal
Income Trust (BFZ)
    BlackRock Florida Municipal Term
Trust (BFO)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:  

Six Months Ended

January 31,

2017

(Unaudited)

   

Year Ended

July 31,

2016

   

Six Months Ended

January 31,

2017

(Unaudited)

   

Year Ended

July 31,

2016

 
       
Operations                                

Net investment income

  $ 11,762,716     $ 26,451,244     $ 1,037,531     $ 2,561,464  

Net realized gain (loss)

    2,112,529       8,618,728       2,765       (807,516

Net change in unrealized appreciation (depreciation)

    (41,404,457     8,301,347       (2,360,522     1,055,346  
 

 

 

   

 

 

 

Net increase (decrease) in net assets applicable to Common Shareholders resulting from operations

    (27,529,212     43,371,319       (1,320,226     2,809,294  
 

 

 

   

 

 

 
       
Distributions to Common Shareholders1                                

From net investment income

    (12,862,570     (27,300,889     (1,034,556     (2,110,271
 

 

 

   

 

 

 
       
Capital Share Transactions                                

Reinvestment of common distributions

    168,908       297,726              
 

 

 

   

 

 

 
       
Net Assets Applicable to Common Shareholders                                

Total increase (decrease) in net assets applicable to Common Shareholders

    (40,222,874     16,368,156       (2,354,782     699,023  

Beginning of period

    521,335,339       504,967,183       86,209,432       85,510,409  
 

 

 

   

 

 

 

End of period

  $ 481,112,465     $ 521,335,339     $ 83,854,650     $ 86,209,432  
 

 

 

   

 

 

 

Undistributed net investment income, end of period

  $ 799,652     $ 1,899,506     $ 2,204,217     $ 2,201,242  
 

 

 

   

 

 

 

 

  1   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

 

See Notes to Financial Statements.      
                
54    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


Statements of Changes in Net Assets     

 

    BlackRock Municipal 2030 Target
Term Trust (BTT)
    BlackRock Municipal Income
Investment Trust (BBF)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:  

Six Months Ended

January 31,

2017

(Unaudited)

   

Year Ended

July 31,

2016

   

Six Months Ended

January 31,

2017

(Unaudited)

   

Year Ended

July 31,

2016

 
       
Operations                                

Net investment income

  $ 31,993,549     $ 72,575,109     $ 4,307,089     $ 6,248,626  

Net realized gain (loss)

    2,950,238       30,017,801       711,004       (86,047

Net change in unrealized appreciation (depreciation)

    (181,249,095     151,902,290       (12,200,915     2,734,708  
 

 

 

   

 

 

 

Net increase (decrease) in net assets applicable to Common Shareholders resulting from operations

    (146,305,308     254,495,200       (7,182,822     8,897,287  
 

 

 

   

 

 

 
       
Distributions to Common Shareholders1                                

From net investment income

    (33,842,674     (67,789,555     (4,434,354     (6,331,712
 

 

 

   

 

 

 
       
Capital Share Transactions                                

Net proceeds from the issuance of shares due to reorganization

                      53,855,412  

Reinvestment of common distributions

                62,269       35,931  
 

 

 

   

 

 

 

Net increase in net assets derived from capital share transactions

                62,269       53,891,343  
 

 

 

   

 

 

 
       
Net Assets Applicable to Common Shareholders                                

Total increase (decrease) in net assets applicable to Common Shareholders

    (180,147,982     186,705,645       (11,554,907     56,456,918  

Beginning of period

    1,789,119,703       1,602,414,058       157,965,428       101,508,510  
 

 

 

   

 

 

 

End of period

  $ 1,608,971,721     $ 1,789,119,703     $ 146,410,521     $ 157,965,428  
 

 

 

   

 

 

 

Undistributed net investment income, end of period

  $ 8,562,160     $ 10,411,285     $ 966,309     $ 1,093,574  
 

 

 

   

 

 

 

 

  1   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    55


Statements of Changes in Net Assets     

 

    BlackRock New Jersey Municipal
Income Trust (BNJ)
    BlackRock New York Municipal
Income Trust (BNY)
 
Increase (Decrease) in Net Assets Applicable to Common Shareholders:  

Six Months Ended

January 31,

2017

(Unaudited)

   

Year Ended

July 31,

2016

   

Six Months Ended

January 31,

2017

(Unaudited)

   

Year Ended

July 31,

2016

 
       
Operations                  

Net investment income

  $ 3,069,331     $ 6,610,109     $ 4,369,964     $ 9,727,051  

Net realized gain (loss)

    933,336       (590,231     1,020,298       758,852  

Net change in unrealized appreciation (depreciation)

    (12,056,756     7,418,065       (17,739,223     12,379,377  
 

 

 

   

 

 

 

Net increase (decrease) in net assets applicable to Common Shareholders resulting from operations

    (8,054,089     13,437,943       (12,348,961     22,865,280  
 

 

 

   

 

 

 
       
Distributions to Common Shareholders1                                

From net investment income

    (3,223,024     (6,858,003     (4,664,766     (10,277,182
 

 

 

   

 

 

 
       
Capital Share Transactions                                

Reinvestment of common distributions

    39,878       67,518       178,919       527,186  
 

 

 

   

 

 

 
       
Net Assets Applicable to Common Shareholders                                

Total increase (decrease) in net assets applicable to Common Shareholders

    (11,237,235     6,647,458       (16,834,808     13,115,284  

Beginning of period

    125,818,519       119,171,061       206,414,461       193,299,177  
 

 

 

   

 

 

 

End of period

  $ 114,581,284     $ 125,818,519     $ 189,579,653     $ 206,414,461  
 

 

 

   

 

 

 

Undistributed net investment income, end of period

  $ 881,478     $ 1,035,171     $ 1,724,260     $ 2,019,062  
 

 

 

   

 

 

 

1    Distributions for annual periods determined in accordance with federal income tax regulations.

     

   

 

 

See Notes to Financial Statements.      
                
56    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


Statements of Cash Flows     

 

Six Months Ended January 31, 2017 (Unaudited)   BlackRock
California
Municipal
Income Trust
(BFZ)
    BlackRock
Florida
Municipal
2020 Term
Trust
(BFO)
    BlackRock
Municipal
2030 Target
Term Trust
(BTT)
    BlackRock
Municipal
Income
Investment
Trust
(BBF)
    BlackRock
New Jersey
Municipal
Income Trust
(BNJ)
    BlackRock
New York
Municipal
Income Trust
(BNY)
 
           
Cash Provided by Operating Activities                                                

Net decrease in net assets resulting from operations

  $ (27,529,212   $ (1,320,226   $ (146,305,308   $ (7,182,822   $ (8,054,089   $ (12,348,961

Adjustments to reconcile net decrease in net assets resulting from operations to net cash provided by operating activities:

           

Proceeds from sales of long-term investments

    199,151,488       413,125       541,593,756       53,647,012       6,790,241       23,968,571  

Purchases of long-term investments

    (201,188,326     (2,223,260     (601,905,927     (53,846,702     (7,623,959     (26,638,273

Net proceeds from sales (purchases) of short-term securities

    3,209,047       1,178,429       57,528,891       (1,320,124     218,016       (624,115

Amortization of premium and accretion of discount on investments and other fees

    2,747,062       476,515       5,733,890       381,830       177,322       756,069  

Net realized gain (loss) on investments

    (4,864     (2,363     (2,948,483     (192,715     (417,812     (49,102

Net unrealized loss on investments

    41,332,563       2,360,522       181,249,095       12,194,221       12,116,166       17,822,233  

(Increase) Decrease in Assets:

           

Cash pledged for futures contracts

    (749,000                 (139,000     (188,000     (345,000

Receivables:

           

Interest — unaffiliated

    338,638       (39,933     (1,698,550     47,788       2,203       189,996  

Dividends — affiliated

    338       71       (11,588     (203     (423     (613

Prepaid expenses

    25,824       4,226       4,967       11,003       21,995       20,505  

Increase (Decrease) in Liabilities:

           

Payables:

           

Investment advisory fees

    (22,693     (674     (57,206     (4,140     (5,438     (7,498

Interest expense and fees

    203,996             142,286       47,276       10,050       25,583  

Officer’s and Trustees’ fees

    (2,638     (811     (23,418     (903     (371     (919

Reorganization costs

                      (271,350            

Variation margin on futures contracts

    66,422                   4,492       6,445       16,390  

Other accrued expenses

    15,145       885       350,835       31,757       18,366       23,861  
 

 

 

 

Net cash provided by operating activities

    17,593,790       846,506       33,653,240       3,407,420       3,070,712       2,808,727  
 

 

 

 
           
Cash Used for Financing Activities                                                

Proceeds from TOB Trust Certificates

    36,200,187                   2,730,101             4,643,689  

Repayments of TOB Trust Certificates

    (39,387,929                 (1,895,466           (2,691,692

Proceeds from Loan for TOB Trust Certificates

    13,870,144                               2,352,204  

Repayments of Loan for TOB Trust Certificates

    (15,915,169                             (2,787,204

Cash dividends paid to Common Shareholders

    (12,692,963     (871,616     (33,842,674     (4,371,789     (3,182,977     (4,485,171

Increase in bank overdraft

    216,529             173,671       63,445       76,747       119,648  

Amortization of deferred offering costs

                15,763       3,080              
 

 

 

 

Net cash used for financing activities

    (17,709,201     (871,616     (33,653,240     (3,470,629     (3,106,230     (2,848,526
 

 

 

 
           
Cash                                                

Net decrease in cash

    (115,411     (25,110           (63,209     (35,518     (39,799

Cash at beginning of period

    115,411       25,110             63,209       35,518       39,799  
 

 

 

 

Cash at end of period

                                   
 

 

 

 
           
Supplemental Disclosure of Cash Flow Information                                                

Cash paid during the period for interest expense

  $ 2,385,847           $ 6,309,503     $ 686,624     $ 586,490     $ 936,668  
 

 

 

 
           
Non-Cash Financing Activities                                                

Capital shares issued in reinvestment of distributions paid to Common Shareholders

    168,908                   62,269       39,878       178,919  
 

 

 

 

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    57


Financial Highlights    BlackRock California Municipal Income Trust (BFZ)

 

   

Six Months Ended
January 31,
2017

(Unaudited)

    Year Ended July 31,  
      2016     2015     2014     2013     2012  
           
Per Share Operating Performance  

Net asset value, beginning of period

  $ 16.35     $ 15.84     $ 15.83     $ 14.50     $ 16.32     $ 13.88  
 

 

 

 

Net investment income1

    0.37       0.83       0.83       0.87       0.89       0.95  

Net realized and unrealized gain (loss)

    (1.24     0.54       0.05       1.39       (1.78     2.42  

Distributions to AMPS Shareholders from net investment income

                                  (0.01
 

 

 

 

Net increase (decrease) from investment operations

    (0.87     1.37       0.88       2.26       (0.89     3.36  
 

 

 

 

Distributions to Common Shareholders from net investment income2

    (0.40     (0.86     (0.87     (0.93     (0.93     (0.92
 

 

 

 

Net asset value, end of period

  $ 15.08     $ 16.35     $ 15.84     $ 15.83     $ 14.50     $ 16.32  
 

 

 

 

Market price, end of period

  $ 14.94     $ 16.76     $ 14.65     $ 14.41     $ 13.63     $ 16.64  
 

 

 

 
           
Total Return Applicable to Common Shareholders3  

Based on net asset value

    (5.31)% 4      8.92%       5.96%       16.48%       (5.81)%       24.98%  
 

 

 

 

Based on market price

    (8.48)% 4      20.72%       7.66%       12.80%       (13.17)%       34.40%  
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders  

Total expenses

    2.11% 5      1.68%       1.53%       1.59%       1.63%       1.49% 6 
 

 

 

 

Total expenses after fees waived and/or paid indirectly

    2.11% 5      1.68%       1.53%       1.59%       1.63%       1.46% 6 
 

 

 

 

Total expenses after fees waived and/or paid indirectly and excluding interest expense, fees and amortization of offering costs7

    1.08% 5      1.04%       1.00%       1.03%       1.01%       1.07% 6,8 
 

 

 

 

Net investment income

    4.68% 5      5.17%       5.20%       5.78%       5.49%       6.28% 6 
 

 

 

 

Distributions to AMPS Shareholders

                                  0.05%  
 

 

 

 

Net investment income to Common Shareholders

    4.68% 5      5.17%       5.20%       5.78%       5.49%       6.23%  
 

 

 

 
           
Supplemental Data  

Net assets applicable to Common Shareholders, end of period (000)

  $ 481,112     $ 521,335     $ 504,967     $ 504,531     $ 462,273     $ 519,578  
 

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 171,300     $ 171,300     $ 171,300     $ 171,300     $ 171,300     $ 171,300  
 

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

  $  380,860     $  404,341     $  394,785     $  394,531     $  369,862     $  403,314  
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 178,458     $ 183,691     $ 155,533     $ 106,698     $ 158,655     $ 162,234  
 

 

 

 

Portfolio turnover rate

    23%       30%       37%       25%       22%       30%  
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  4   

Aggregate total return.

 

  5   

Annualized.

 

  6   

Does not reflect the effect of distributions to AMPS Shareholders.

 

  7   

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  8   

For the year ended July 31, 2012, the total expense ratio after fees waived and/or paid indirectly and excluding interest expense, fees, amortization of offering costs and remarketing fees was 1.04%.

 

 

See Notes to Financial Statements.      
                
58    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


Financial Highlights    BlackRock Florida Municipal 2020 Term Trust (BFO)

 

   

Six Months Ended
January 31,
2017

(Unaudited)

    Year Ended July 31,  
      2016     2015     2014     2013     2012  
           
Per Share Operating Performance  

Net asset value, beginning of period

  $ 15.50     $ 15.37     $ 15.42     $ 15.31     $ 16.05     $ 14.94  
 

 

 

 

Net investment income1

    0.19       0.46       0.42       0.47       0.68       0.85  

Net realized and unrealized gain (loss)

    (0.42     0.05       (0.03     0.25       (0.65     0.98  

Distributions to AMPS Shareholders from net investment income

                (0.00 )2      (0.00 )2      (0.01     (0.02
 

 

 

 

Net increase (decrease) from investment operations

    (0.23     0.51       0.39       0.72       0.02       1.81  
 

 

 

 

Distributions to Common Shareholders from net investment income3

    (0.19     (0.38     (0.44     (0.61     (0.76     (0.70
 

 

 

 

Net asset value, end of period

  $ 15.08     $ 15.50     $ 15.37     $ 15.42     $ 15.31     $ 16.05  
 

 

 

 

Market price, end of period

  $ 15.07     $ 15.21     $ 14.82     $ 15.16     $ 15.12     $ 15.60  
 

 

 

 
           
Total Return Applicable to Common Shareholders4  

Based on net asset value

    (1.51)% 5      3.41%       2.59%       4.84%       0.12%       12.44%  
 

 

 

 

Based on market price

    0.30% 5      5.24%       0.62%       4.36%       1.73%       17.38%  
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders  

Total expenses

    0.65% 6      0.64%       0.68% 7      0.74% 7      0.92% 7      1.06% 7 
 

 

 

 

Total expenses after fees waived and/or paid indirectly

    0.65% 6      0.64%       0.68% 7      0.74% 7      0.92% 7      1.06% 7 
 

 

 

 

Total expenses after fees waived and/or paid indirectly and/or excluding interest expense, fees and amortization of offering costs8

    0.65% 6      0.64%       0.68% 7,9      0.74% 7,9      0.92% 7,9      1.06% 7,9 
 

 

 

 

Net investment income

    2.43% 6      3.00%       2.69% 7      3.05% 7      4.23% 7      5.48% 7 
 

 

 

 

Distributions to AMPS Shareholders

                0.00%       0.01%       0.09%       0.12%  
 

 

 

 

Net investment income to Common Shareholders

    2.43% 6      3.00%       2.69%       3.04%       4.14%       5.36%  
 

 

 

 
           
Supplemental Data  

Net assets applicable to Common Shareholders, end of period (000)

  $       83,855     $       86,209     $       85,510     $ 85,748     $ 85,139     $ 89,251  
 

 

 

 

AMPS outstanding at $25,000 liquidation preference, end of period (000)

                    $ 625     $ 19,100     $ 42,900  
 

 

 

 

Asset coverage per AMPS at $25,000 liquidation preference, end of period (000)

                    $  3,454,938     $     136,438     $       77,011  
 

 

 

 

Borrowings outstanding, end of period (000)

              $ 134     $ 190     $ 280     $ 470  
 

 

 

 

Portfolio turnover rate

          7%       14%       1%       9%       32%  
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Amount is greater than $(0.005) per share.

 

  3   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  4   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  5   

Aggregate total return.

 

  6   

Annualized.

 

  7   

Does not reflect the effect of distributions to AMPS Shareholders.

 

  8   

Interest expense and fees relate to TOB Trusts. See Note 4 of the Notes to Financial Statements for details.

 

  9   

The total expense ratio after fees waived and/or paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was as follows:

 

    Year Ended July 31,  
        2015         2014         2013         2012  
       

Total expense ratio after fees waived and/or paid indirectly and excluding interest expense, fees and remarketing fees

               0.67%                  0.73%                  0.87%                  0.97%  
 

 

 

 

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    59


Financial Highlights    BlackRock Municipal 2030 Target Term Trust (BTT)

 

    Six Months Ended
January 31,
2017
(Unaudited)
    Year Ended July 31,     Period
August 30, 20121
to July  31,
2013
 
      2016     2015     2014    
         
Per Share Operating Performance  

Net asset value, beginning of period

  $ 25.38     $ 22.73     $ 21.99     $ 18.75     $ 23.88 2 
 

 

 

 

Net investment income3

    0.45       1.03       1.09       1.12       0.80  

Net realized and unrealized gain (loss)

    (2.53     2.58       0.61       3.23       (4.95
 

 

 

 

Net increase (decrease) from investment operations

    (2.08     3.61       1.70       4.35       (4.15
 

 

 

 
Distributions to Common Shareholders:4  

From net investment income

    (0.48     (0.96     (0.96     (1.09     (0.87

From return of capital

                      (0.02     (0.11
 

 

 

 

Total distributions to Common Shareholders

    (0.48     (0.96     (0.96     (1.11     (0.98
 

 

 

 

Net asset value, end of period

  $ 22.82     $ 25.38     $ 22.73     $ 21.99     $ 18.75  
 

 

 

 

Market price, end of period

  $ 22.76     $ 24.24     $ 20.80     $ 19.57     $ 18.42  
 

 

 

 
         
Total Return Applicable to Common Shareholders5  

Based on net asset value

    (8.19)% 6      16.57%       8.32%       24.50%       (18.00)% 6 
 

 

 

 

Based on market price

    (4.13)% 6      21.67%       11.37%       12.78%       (23.05)% 6 
 

 

 

 
         
Ratios to Average Net Assets Applicable to Common Shareholders  

Total expenses

    1.43% 7      1.17%       1.14%       1.22%       0.99% 7 
 

 

 

 

Total expenses after fees waived and/or paid indirectly

    1.43% 7      1.09%       1.06%       1.21%       0.99% 7 
 

 

 

 

Total expenses after fees waived and/or paid indirectly and excluding interest expense, fees and amortization of offering costs8

    0.67% 7      0.61%       0.62%       0.72%       0.64% 7 
 

 

 

 

Net investment income to Common Shareholders

    3.75% 7      4.30%       4.77%       5.61%       3.78% 7 
 

 

 

 
         
Supplemental Data  

Net assets, end of period (000)

  $ 1,608,972     $ 1,789,120     $ 1,602,414     $ 1,550,376     $ 1,321,835  
 

 

 

 

RVMTP Shares outstanding at $5,000,000 liquidation value, end of period (000)

  $ 750,000     $ 750,000     $ 750,000     $ 750,000     $ 750,000  
 

 

 

 

Asset coverage per RVMTP Shares at $5,000,000 liquidation value, end of period

  $  15,726,478     $  16,927,465     $  15,682,760     $  15,335,837     $  13,812,236  
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 184,115     $ 184,115     $ 184,120     $ 184,120     $ 238,705  
 

 

 

 

Portfolio turnover rate

    21%       42%       12%       6%       39%  
 

 

 

 

 

  1   

Commencement of operations.

 

  2   

Net asset value, beginning of period, reflects a deduction of $1.125 per share sales charge from the initial offering price of $25.00 per share.

 

  3   

Based on average Common Shares outstanding.

 

  4   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  5   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  6   

Aggregate total return.

 

  7   

Annualized.

 

  8   

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or RVMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

 

See Notes to Financial Statements.      
                
60    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


Financial Highlights    BlackRock Municipal Income Investment Trust (BBF)

 

   

Six Months Ended
January 31,
2017

(Unaudited)

    Year Ended July 31,  
      2016     2015     2014     2013     2012  
           
Per Share Operating Performance  

Net asset value, beginning of period

  $ 15.47     $ 15.14     $ 15.09     $ 13.89     $ 15.91     $ 13.40  
 

 

 

 

Net investment income1

    0.42       0.84       0.87       0.87       0.85       0.86  

Net realized and unrealized gain (loss)

    (1.12     0.36       0.05       1.20       (2.00     2.55  

Distributions to AMPS Shareholders from net investment income

                                  (0.00 )2 
 

 

 

 

Net increase (decrease) from investment operations

    (0.70     1.20       0.92       2.07       (1.15     3.41  
 

 

 

 

Distributions to Common Shareholders from net investment income3

    (0.43     (0.87     (0.87     (0.87     (0.87     (0.90
 

 

 

 

Net asset value, end of period

  $ 14.34     $ 15.47     $ 15.14     $ 15.09     $ 13.89     $ 15.91  
 

 

 

 

Market price, end of period

  $ 14.53     $ 16.00     $ 13.44     $ 13.48     $ 12.47     $ 16.25  
 

 

 

 
           
Total Return Applicable to Common Shareholders4  

Based on net asset value

    (4.51)% 5      8.40%       6.76%       16.06%       (7.56)%       26.21%  
 

 

 

 

Based on market price

    (6.45)% 5      26.29%       6.09%       15.49%       (18.75)%       35.59%  
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders  

Total expenses

    2.07% 6      2.01% 7      1.76%       1.85%       1.83%       1.99% 8 
 

 

 

 

Total expenses after fees waived and/or paid indirectly

    2.07% 6      2.01% 7      1.76%       1.85%       1.83%       1.99% 8 
 

 

 

 

Total expenses after fees waived and/or paid indirectly and excluding interest expense, fees and amortization of offering costs9,10

    1.11% 6      1.45% 7      1.50%       1.56%       1.49%       1.61% 8 
 

 

 

 

Net investment income

    5.63% 6      5.50%       5.65%       6.09%       5.41%       5.89% 8 
 

 

 

 

Distributions to AMPS Shareholders

                                  0.02%  
 

 

 

 

Net investment income to Common Shareholders

    5.63% 6      5.50%       5.65%       6.09%       5.41%       5.87%  
 

 

 

 
           
Supplemental Data  

Net assets applicable to Common Shareholders, end of period (000)

  $ 146,411     $ 157,965     $ 101,509     $ 101,163     $ 93,145     $ 106,627  
 

 

 

 

VRDP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 52,000     $ 52,000     $ 34,200     $ 34,200     $ 34,200     $ 34,200  
 

 

 

 

Asset coverage per VRDP Shares at $100,000 liquidation value, end of period

  $  381,559     $  403,780     $  396,809     $  395,798     $  372,353     $  411,775  
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 49,043     $ 47,193     $ 29,682     $ 29,682     $ 34,096     $ 33,466  
 

 

 

 

Portfolio turnover rate

    21%       17%       11%       22%       33%       39%  
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Amount is greater than $(0.005) per share.

 

  3   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  4   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  5   

Aggregate total return.

 

  6   

Annualized.

 

  7   

Includes reorganization costs associated with the Trust’s reorganization. Without these costs, total expenses, total expenses after fees waived and/or paid indirectly and/or reimbursed and total expenses after fees waived and/or paid indirectly and/or reimbursed and excluding interest expense would have been 1.83%, 1.83% and 1.26%, respectively, for the year ended July 31, 2016.

 

  8   

Does not reflect the effect of distributions to AMPS Shareholders.

 

  9   

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VRDP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  10  

The total expense ratio after fees waived and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was as follows:

 

   

Six Months Ended
January 31,

2017

(Unaudited)

    Year Ended July 31,  
      2016     2015     2014     2013     2012  
           

The total expense ratio after fees waived and/or paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees

        1.11%             1.38%           1.17%             1.19%            1.17%       1.31%  
 

 

 

 

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    61


Financial Highlights    BlackRock New Jersey Municipal Income Trust (BNJ)

 

   

Six Months Ended
January 31,
2017

(Unaudited)

    Year Ended July 31,  
      2016     2015     2014     2013     2012  
           
Per Share Operating Performance  

Net asset value, beginning of period

  $ 16.41     $ 15.55     $ 15.61     $ 14.36     $ 16.17     $ 14.07  
 

 

 

 

Net investment income1

    0.40       0.86       0.86       0.88       0.88       0.95  

Net realized and unrealized gain (loss)

    (1.45     0.90       (0.01     1.27       (1.75     2.11  

Distributions to AMPS Shareholders from net investment income

                                  (0.01
 

 

 

 

Net increase (decrease) from investment operations

    (1.05     1.76       0.85       2.15       (0.87     3.05  
 

 

 

 

Distributions to Common Shareholders from net investment income2

    (0.42     (0.90     (0.91     (0.90     (0.94     (0.95
 

 

 

 

Net asset value, end of period

  $ 14.94     $ 16.41     $ 15.55     $ 15.61     $ 14.36     $ 16.17  
 

 

 

 

Market price, end of period

  $ 14.77     $ 16.79     $ 14.61     $ 14.68     $ 13.67     $ 17.67  
 

 

 

 
           
Total Return Applicable to Common Shareholders3  

Based on net asset value

    (6.43)% 4      11.81%       5.79%       16.01%       (5.82)%       22.25%  
 

 

 

 

Based on market price

    (9.58)% 4      21.76%       5.69%       14.60%       (17.95)%       33.30%  
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders  

Total expenses

    2.14% 5      1.81%       1.80%       1.89%       1.81%       1.47% 6 
 

 

 

 

Total expenses after fees waived and/or paid indirectly

    2.14% 5      1.81%       1.79%       1.89%       1.81%       1.46% 6 
 

 

 

 

Total expenses after fees waived and/or paid indirectly and excluding interest expense, fees and amortization of offering costs7

    1.16% 5      1.15%       1.15%       1.18%       1.13%       1.18% 6,8 
 

 

 

 

Net investment income

    5.06% 5      5.45%       5.43%       5.96%       5.51%       6.28% 6 
 

 

 

 

Distributions to AMPS Shareholders

                                  0.08%  
 

 

 

 

Net investment income to Common Shareholders

    5.06% 5      5.45%       5.43%       5.96%       5.51%       6.20%  
 

 

 

 
           
Supplemental Data  

Net assets applicable to Common Shareholders, end of period (000)

  $  114,581     $  125,819     $  119,171     $  119,509     $  109,950     $  123,497  
 

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 59,100     $ 59,100     $ 59,100     $ 59,100     $ 59,100     $ 59,100  
 

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

  $ 293,877     $ 312,891     $ 301,643     $ 302,215     $ 286,040     $ 308,962  
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 17,890     $ 17,890     $ 17,301     $ 17,301     $ 17,302     $ 10,634  
 

 

 

 

Portfolio turnover rate

    3%       11%       12%       20%       9%       20%  
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  4   

Aggregate total return.

 

  5   

Annualized.

 

  6   

Does not reflect the effect of distributions to AMPS Shareholders.

 

  7   

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  8   

For the year ended July 31, 2012, the total expense ratio after fees waived and/or paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 1.14%.

 

 

See Notes to Financial Statements.      
                
62    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


Financial Highlights    BlackRock New York Municipal Income Trust (BNY)

 

   

Six Months Ended
January 31,

2017
(Unaudited)

    Year Ended July 31,  
      2016     2015     2014     2013     2012  
           
Per Share Operating Performance  

Net asset value, beginning of period

  $ 15.94     $ 14.97     $ 14.68     $ 13.47     $ 15.53     $ 13.87  
 

 

 

 

Net investment income1

    0.34       0.75       0.79       0.81       0.87       0.93  

Net realized and unrealized gain (loss)

    (1.29     1.02       0.33       1.23       (2.06     1.73  

Distributions to AMPS Shareholders from net investment income

                                  (0.01
 

 

 

 

Net increase (decrease) from investment operations

    (0.95     1.77       1.12       2.04       (1.19     2.65  
 

 

 

 

Distributions to Common Shareholders from net investment income2

    (0.36     (0.80     (0.83     (0.83     (0.87     (0.99
 

 

 

 

Net asset value, end of period

  $ 14.63     $ 15.94     $ 14.97     $ 14.68     $ 13.47     $ 15.53  
 

 

 

 

Market price, end of period

  $ 14.26     $ 16.71     $ 14.54     $ 13.79     $ 13.16     $ 16.73  
 

 

 

 
           
Total Return Applicable to Common Shareholders3  

Based on net asset value

    (5.96)% 4      12.13%       8.00%       15.98%       (8.18)%       19.62%  
 

 

 

 

Based on market price

    (12.56)% 4      21.02%       11.67%       11.51%       (16.73)%       25.87%  
 

 

 

 
           
Ratios to Average Net Assets Applicable to Common Shareholders3  

Total expenses

    2.09% 5      1.75%       1.73%       1.82%       1.85%       1.49% 6 
 

 

 

 

Total expenses after fees waived and/or paid indirectly

    2.09% 5      1.75%       1.73%       1.82%       1.84%       1.49% 6 
 

 

 

 

Total expenses after fees waived and/or paid indirectly and/or excluding interest expense, fees and amortization of offering costs7

    1.12% 5      1.11%       1.12%       1.13%       1.14%       1.18% 6,8 
 

 

 

 

Net investment income

    4.39% 5      4.89%       5.24%       5.89%       5.71%       6.34% 6 
 

 

 

 

Distributions to AMPS Shareholders

                                  0.08%  
 

 

 

 

Net investment income to Common Shareholders

    4.39% 5      4.89%       5.24%       5.89%       5.71%       6.26%  
 

 

 

 
           
Supplemental Data  

Net assets applicable to Common Shareholders, end of period (000)

  $ 189,580     $ 206,414     $ 193,299     $ 189,548     $ 173,976     $ 200,020  
 

 

 

 

VMTP Shares outstanding at $100,000 liquidation value, end of period (000)

  $ 94,500     $ 94,500     $ 94,500     $ 94,500     $ 94,500     $ 94,500  
 

 

 

 

Asset coverage per VMTP Shares at $100,000 liquidation value, end of period

  $  300,613     $  318,428     $  304,549     $  300,580     $  284,102     $  311,661  
 

 

 

 

Borrowings outstanding, end of period (000)

  $ 33,297     $ 31,780     $ 28,961     $ 28,461     $ 31,620     $ 32,847  
 

 

 

 

Portfolio turnover rate

    8%       14%       11%       26%       23%       24%  
 

 

 

 

 

  1   

Based on average Common Shares outstanding.

 

  2   

Distributions for annual periods determined in accordance with federal income tax regulations.

 

  3   

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

 

  4   

Aggregate total return.

 

  5   

Annualized.

 

  6   

Does not reflect the effect of distributions to AMPS Shareholders.

 

  7   

Interest expense, fees and amortization of offering costs related to TOB Trusts and/or VMTP Shares. See Note 4 and Note 10 of the Notes to Financial Statements for details.

 

  8   

For the year ended July 31, 2012, the total expense ratio after fees waived and/or paid indirectly and excluding interest expense, fees, amortization of offering costs, liquidity and remarketing fees was 1.13%.

 

See Notes to Financial Statements.      
                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    63


Notes to Financial Statements (Unaudited)     

 

1. Organization:

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies. BlackRock California Municipal Income Trust, BlackRock Municipal 2030 Target Term Trust, BlackRock Municipal Income Investment Trust, BlackRock New Jersey Municipal Income Trust and BlackRock New York Municipal Income Trust (collectively, the “Income Trusts”), together with BlackRock Florida Municipal 2020 Term Trust, are referred to herein collectively as the “Trusts,” or individually, a “Trust”:

 

Trust Name  

Herein

Referred to As

     Organized      Diversification
Classification
 

BlackRock California Municipal Income Trust

    BFZ        Delaware        Non-diversified  

BlackRock Florida Municipal 2020 Term Trust

    BFO        Delaware        Non-diversified  

BlackRock Municipal 2030 Target Term Trust

    BIT        Delaware        Non-diversified  

BlackRock Municipal Income Investment Trust

    BBF        Delaware        Non-diversified  

BlackRock New Jersey Municipal Income Trust

    BNJ        Delaware        Non-diversified  

BlackRock New York Municipal Income Trust

    BNY        Delaware        Non-diversified  

The Boards of Trustees of the Trusts are collectively referred to throughout this report as the “Board of Trustees” or the “Board,” and the trustees thereof are collectively referred to throughout this report as “Trustees.” The Trusts determine and make available for publication the net asset values (“NAVs”) of their Common Shares on a daily basis.

The Trusts, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of closed-end funds referred to as the Closed-End Complex.

Reorganization: The Board and shareholders of BBF and the Board and shareholders of BlackRock Municipal Bond Investment Trust (“BIE”) approved the reorganization of BIE into BBF. As a result, BBF acquired substantially all of the assets and assumed substantially all of the liabilities of BIE in exchange for an equal aggregate value of newly-issued Common Shares and Preferred Shares of BBF. The purpose of the transaction was to combine two funds managed by the Manager with the same or substantially similar (but not identical) investment objectives, investment policies, strategies, risks and restrictions. The reorganization was a tax-free event and was effective on May 16, 2016.

Each Common Shareholder of BIE received Common Shares of BBF in an amount equal to the aggregate NAV of such Shareholder’s BIE Common Shares, as determined at the close of business on May 13, 2016, less the cost of BIE’s reorganization. Cash was distributed for any fractional Common Shares.

Each BIE VRDP Shareholder received on a one-for-one basis one newly issued VRDP Share of BBF, par value $0.001 per share and with a liquidation preference of $100,000 per share, in exchange for each BIE VRDP Share held by such BIE VRDP Shareholder.

The reorganization was accomplished by a tax-free exchange of Common Shares and VRDP Shares of BBF in the following amounts and at the following conversion ratios:

 

Target Fund   Shares Prior to
Reorganization
    

Conversion

Ratio

    

Shares of

BBF

 

BIE Common Shares

    3,338,684        1.04878969        3,501,574  

BIE VRDP Shares

    178        1        178  

BIE’s common net assets and composition of common net assets on May 13, 2016, the valuation date of the reorganization, were as follows:

 

     BIE  

Net assets Applicable to Common Shares

  $ 53,855,412  

Paid-in-capital

  $ 46,862,621  

Undistributed net investment income

  $ 270,481  

Accumulated net realized loss

  $ (3,094,350

Net unrealized appreciation (depreciation)

  $ 9,816,660  

For financial reporting purposes, assets received and shares issued by BBF were recorded at fair value. However, the cost basis of the investments being received from BIE was carried forward to align ongoing reporting of BBF’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.

The net assets of BBF before the acquisition were $103,135,598. The aggregate net assets of BBF immediately after the acquisition amounted to $156,991,010. BIE’s fair value and cost of investments and derivative financial instruments prior to the reorganization were as follows:

 

Target Fund  

Fair Value of

Investments and

Derivative

Financial

Instruments

   

Cost of

Investments

   

TOB Trust

Certificates

   

Preferred

Shares Value

 

BIE

  $ 86,823,654     $ 77,006,994     $ 16,235,808     $ 17,800,000  

 

                
64    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


Notes to Financial Statements (continued)     

 

In connection with the reorganizations, BBF investment advisory fee was reduced by 3 basis points, from 0.60% of BBF’s average weekly managed assets to 0.57% of BBF’s average weekly net assets as defined in Note 6.

Assuming the acquisition had been completed on August 1, 2015, the beginning of the fiscal reporting period of BBF, the pro forma results of operations for the year ended July 31, 2016, are as follows:

 

 

Net investment income: $8,410,064

 

 

Net realized and change in unrealized gain (loss) on investments: $3,935,649

 

 

Net increase in net assets resulting from operations: $12,345,713

Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of BBF that have been included in BBF’s Statement of Operations since May 16, 2016.

Reorganization costs incurred in connection with the reorganization were expensed by BBF.

2. Significant Accounting Policies:

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Trust is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

Segregation and Collateralization: In cases where a Trust enters into certain investments (e.g., futures contracts) or certain borrowings (e.g., TOB Trust transactions) that would be treated as “senior securities” for 1940 Act purposes, a Trust may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments or borrowings. Doing so allows the investment or borrowing to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Trusts may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Dividend income is recorded on the ex-dividend date. Realized gains and losses on investment transactions are determined on the identified cost basis. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

Distributions: Distributions from net investment income are declared monthly and paid monthly. Distributions of capital gains are recorded on the ex-dividend date and made at least annually. The character and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. Distributions to Preferred Shareholders are accrued and determined as described in Note 10.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Trust’s Board, the independent Trustees (“Independent Trustees”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Trustees. This has the same economic effect for the Independent Trustees as if the Independent Trustees had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Trust, if applicable. Deferred compensation liabilities are included in officer’s and trustees’ fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Trusts until such amounts are distributed in accordance with the Plan.

Recent Accounting Standard: In November 2016, the Financial Accounting Standards Board issued Accounting Standards Update “Restricted Cash” which will require entities to include the total of cash, cash equivalents, restricted cash, and restricted cash equivalents in the beginning and ending cash balances in the Statements of Cash Flows. The guidance will be applied retrospectively and is effective for fiscal years beginning after December 15, 2017, and interim periods within those years. Management is evaluating the impact, if any, of this guidance on the Trusts’ presentation in the Statements of Cash Flows.

Indemnifications: In the normal course of business, a Trust enters into contracts that contain a variety of representations that provide general indemnification. A Trust’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Trust, which cannot be predicted with any certainty.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    65


Notes to Financial Statements (continued)     

 

Other: Expenses directly related to a Trust are charged to that Trust. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

Through May 31, 2016, the Trusts had an arrangement with their custodian whereby credits were earned on uninvested cash balances, which could be used to reduce custody fees and/or overdraft charges. Credits previously earned have been utilized until December 31, 2016. Under current arrangements effective June 1, 2016, the Trusts no longer earn credits on uninvested cash, and may incur charges on uninvested cash balances and overdrafts, subject to certain conditions.

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The Trusts’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Trusts would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Trusts determine the fair values of their financial instruments using various independent dealers or pricing services under policies approved by the Board. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Trust’s assets and liabilities:

 

 

Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.

 

 

Investments in open-end U.S. mutual funds are valued at NAV each business day.

 

 

Futures contracts traded on exchanges are valued at their last sale price.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee will include Market approach, Income approach and the Cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Trust might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:

 

 

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Trust has the ability to access

 

 

Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs)

 

 

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including each Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

 

                
66    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


Notes to Financial Statements (continued)     

 

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with each Trust’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

4. Securities and Other Investments:

Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.

Forward Commitments and When-Issued Delayed Delivery Securities: Certain Trusts may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. A Trust may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, a Trust may be required to pay more at settlement than the security is worth. In addition, a Trust is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, a Trust assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, a Trust’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.

Municipal Bonds Transferred to TOB Trusts: The Trusts leverage their assets through the use of “TOB Trust” transactions. The Trusts transfer municipal bonds into a special purpose trust (a “TOB Trust”). A TOB Trust generally issues two classes of beneficial interests: short-term floating rate interests (“TOB Trust Certificates”), which are sold to third party investors, and residual inverse floating rate interests (“TOB Residuals”), which are generally issued to the participating funds that contributed the municipal bonds to the TOB Trust. The TOB Trust Certificates have interest rates that generally reset weekly and their holders have the option to tender such certificates to the TOB Trust for redemption at par and any accrued interest at each reset date. The TOB Residuals held by a Trust generally provide the Trust with the right to cause the holders of a proportional share of the TOB Trust Certificates to tender their certificates to the TOB Trust at par plus accrued interest. The Trusts may withdraw a corresponding share of the municipal bonds from the TOB Trust. Other funds managed by the investment adviser may also contribute municipal bonds to a TOB Trust into which each Trust has contributed bonds. If multiple BlackRock advised funds participate in the same TOB Trust, the economic rights and obligations under the TOB Residuals will be shared among the funds ratably in proportion to their participation in the TOB Trust.

TOB Trusts are generally supported by a liquidity facility provided by a third party bank or other financial institution (the “Liquidity Provider”) that allows the holders of the TOB Trust Certificates to tender their certificates in exchange for payment of par plus accrued interest on any business day. The tendered TOB Trust Certificates may be purchased by the Liquidity Provider and are usually remarketed by a Remarketing Agent, which is typically an affiliated entity of the Liquidity Provider. The Remarketing Agent may also purchase the tendered TOB Trust Certificates for its own account in the event of a failed remarketing.

The TOB Trust may be collapsed without the consent of a Trust, upon the occurrence of tender option termination events (“TOTEs”) or mandatory termination events (“MTEs”), as defined in the TOB Trust agreements. TOTEs include the bankruptcy or default of the issuer of the municipal bonds held in the TOB Trust, a substantial downgrade in the credit quality of the issuer of the municipal bonds held in the TOB Trust, failure of any scheduled payment of principal or interest on the municipal bonds, and/or a judgment or ruling that interest on the municipal bond is subject to federal income taxation. MTEs may include, among other things, a failed remarketing of the TOB Trust Certificates, the inability of the TOB Trust to obtain renewal of the liquidity support agreement and a substantial decline in the market value of the municipal bonds held in the TOB Trust. Upon the occurrence of a TOTE or an MTE, the TOB Trust would be liquidated with the proceeds applied first to any accrued fees owed to the trustee of the TOB Trust, the Remarketing Agent and the Liquidity Provider. In the case of an MTE, after the payment of fees, the TOB Trust Certificates holders would be paid before the TOB Residuals holders (i.e., the Trusts). In contrast, in the case of a TOTE, after payment of fees, the TOB Trust Certificates holders and the TOB Residuals holders would be paid pro rata in proportion to the respective face values of their certificates. During the six months ended January 31, 2017, no TOB Trusts in which a Trust participated were terminated without the consent of a Trust.

While a Trust’s investment policies and restrictions expressly permit investments in inverse floating rate securities, such as TOB Residuals, they generally restrict the ability of a Trust to borrow money for purposes of making investments. Each Trust’s transfer of the municipal bonds to a TOB Trust is considered a secured borrowing for financial reporting purposes. The cash received by the TOB Trust from the sale of the TOB Trust Certificates, less certain transaction expenses, is paid to a Trust. A Trust typically invests the cash received in additional municipal bonds. The municipal bonds deposited into a TOB Trust are presented in a Trust’s Schedule of Investments and the TOB Trust Certificates are shown in Other Liabilities in the Statements of Assets and Liabilities. Any loans drawn by the TOB Trust pursuant to the liquidity facility to purchase tendered TOB Trust Certificates would be shown as Loan for TOB Trust Certificates.

Volcker Rule Impact: On December 10, 2013, regulators published final rules implementing section 619 of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Volcker Rule”), which precludes banking entities and their affiliates from sponsoring and investing in TOB Trusts. Banking

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    67


Notes to Financial Statements (continued)     

 

entities subject to the Volcker Rule were required to fully comply by July 21, 2015, with respect to investments in and relationships with TOB Trusts established after December 31, 2013 (“Non-Legacy TOB Trusts”), and by July 21, 2017, with respect to investments in and relationships with TOB Trusts established prior to December 31, 2013 (“Legacy TOB Trusts”).

As a result, a new structure for TOB Trusts has been designed in which no banking entity would sponsor the TOB Trust. Specifically, a Trust establishes, structures and “sponsors” the TOB Trusts in which it holds TOB Residuals. In such a structure, certain responsibilities that previously belonged to a third party bank are performed by, or on behalf of, the Trusts. The Trusts have restructured any Non-Legacy TOB Trusts and are in the process of restructuring Legacy TOB Trusts in conformity with regulatory guidelines. Until all restructurings are completed, a Trust may, for a period of time, hold TOB Residuals in both Legacy TOB Trusts and new or restructured non-bank sponsored TOB Trusts.

Under the new TOB Trust structure, the Liquidity Provider or Remarketing Agent will no longer purchase the tendered TOB Trust Certificates even in the event of failed remarketing. This may increase the likelihood that a TOB Trust will need to be collapsed and liquidated in order to purchase the tendered TOB Trust Certificates. The TOB Trust may draw upon a loan from the Liquidity Provider to purchase the tendered TOB Trust Certificates. Any loans made by the Liquidity Provider will be secured by the purchased TOB Trust Certificates held by the TOB Trust and will be subject to an increased interest rate based on the number of days the loan is outstanding.

Accounting for TOB Trusts: The municipal bonds deposited into a TOB Trust are presented in a Trust’s Schedule of Investments and the TOB Trust Certificates are shown in Other Liabilities in the Statements of Assets and Liabilities. Any loans drawn by the TOB Trust pursuant to the liquidity facility to purchase tendered TOB Trust Certificates are shown as Loan for TOB Trust Certificates. The carrying amount of a Trust’s payable to the holder of the TOB Trust Certificates, as reported in the Statements of Assets and Liabilities as TOB Trust Certificates, approximates its fair value.

Interest income, including amortization and accretion of premiums and discounts, from the underlying municipal bonds is recorded by a Trust on an accrual basis. Interest expense incurred on the TOB Trust transaction and other expenses related to remarketing, administration, trustee, liquidity and other services to a TOB Trust are shown as interest expense, fees and amortization of offering costs in the Statements of Operations. Fees paid upon creation of the TOB Trust are recorded as debt issuance costs and are amortized to interest expense, fees and amortization of offering costs in the Statements of Operations to the expected maturity of the TOB Trust. In connection with the restructurings of the TOB Trusts to non-bank sponsored TOB Trusts, a Trust incurred non-recurring, legal and restructuring fees, which are recorded as interest expense, fees and amortization of deferred offering costs in the Statements of Operations.

For the six months ended January 31, 2017, the following table is a summary of each Trust’s TOB Trusts:

 

    

Underlying
Municipal

Bonds

Transferred to

TOB Trusts1

    

Liability for

TOB Trust

Certificates2

    

Range of

Interest Rates on
TOB Trust
Certificates at
Period End

    

Average TOB

Trust

Certificates

Outstanding

    

Daily Weighted
Average Rate of
Interest and Other
Expenses on

TOB Trusts

 

BFZ

  $ 381,134,641      $ 178,458,032        0.68% - 0.86%      $ 188,648,039        1.30%  

BTT

  $ 383,821,672      $ 184,114,916        0.69% - 0.75%      $ 184,114,916        1.68%  

BBF

  $ 88,208,407      $ 49,042,593        0.69% - 0.93%      $ 49,354,742        1.31%  

BNJ

  $ 30,404,331      $ 17,889,909        0.69% - 0.93%      $ 17,889,909        1.44%  

BNY

  $ 60,227,056      $ 33,297,199        0.69% - 0.81%      $ 32,200,743        1.30%  

 

  1  

The municipal bonds transferred to a TOB Trust are generally high grade municipal bonds. In certain cases, when municipal bonds transferred are lower grade municipal bonds, the TOB Trust transaction may include a credit enhancement feature that provides for the timely payment of principal and interest on the bonds to the TOB Trust by a credit enhancement provider in the event of default of the municipal bond. The TOB Trust would be responsible for the payment of the credit enhancement fee and the Trusts, as TOB Residuals holders, would be responsible for reimbursement of any payments of principal and interest made by the credit enhancement provider. The maximum potential amounts owed by the Trusts, for such reimbursements, as applicable, are included in the maximum potential amounts disclosed for recourse TOB Trusts.

 

  2  

The Trusts may invest in TOB Trusts that are structured on a non-recourse or recourse basis. When a Trust invests in TOB Trusts on a non-recourse basis, the Liquidity Provider may be required to make a payment under the liquidity facility. In such an event, the Liquidity Provider will typically either (i) fund the full amount owed under the liquidity facility and be subsequently reimbursed from only the proceeds of the liquidation of all or a portion of the municipal bonds held in the TOB Trust or the remarketing of the TOB Trust Certificates, or (ii) liquidate all or a portion of the municipal bonds held in the TOB Trust and then fund the balance, if any, of the amount owed under the liquidity facility over the liquidation proceeds (the “Liquidation Shortfall”). If a Trust invests in a TOB Trust on a recourse basis, a Trust will usually enter into a reimbursement agreement with the Liquidity Provider where a Trust is required to reimburse the Liquidity Provider the amount of any Liquidation Shortfall. As a result, if a Trust invests in a recourse TOB Trust, a Trust will bear the risk of loss with respect to any Liquidation Shortfall. If multiple funds participate in any such TOB Trust, these losses will be shared ratably, including the maximum potential amounts owed by a Trust at January 31, 2017, in proportion to their participation in the TOB Trust. The recourse TOB Trusts are identified in the Schedules of Investments including the maximum potential amounts owed by a Trust at January 31, 2017.

For the six months ended January 31, 2017, the following table is a summary of each Trust’s Loan for TOB Trust Certificates:

 

     Loans
Outstanding
at Period End
     Range of Interest
Rates on Loans at
Period End
     Average Loans
Outstanding
     Daily Weighted
Average Rate of
Interest and  Other
Expenses on Loans
 

BFZ

                $ 1,148,413        0.82%  

BNY

                $ 1,074,204        0.85%  

 

                
68    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


Notes to Financial Statements (continued)     

 

5. Derivative Financial Instruments:

The Trusts engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Trusts and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or over-the-counter (“OTC”).

Futures Contracts: Certain Trusts invest in long and/or short positions in futures and options on futures contracts to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are agreements between the Trusts and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Trusts are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract.

Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, is shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Trusts agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.

6. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock, Inc. (“BlackRock”) for 1940 Act purposes.

Investment Advisory: Each Trust entered into an Investment Advisory Agreement with the Manager, the Trusts’ investment adviser, an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory services. The Manager is responsible for the management of each Trust’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Trust.

For such services, each Trust, except BTT, pays the Manager a monthly fee at an annual rate equal to the following percentages of the average weekly value of each Trust’s managed assets:

 

     BFZ      BFO      BBF      BNJ      BNY  

Investment advisory fees

    0.58%        0.50%        0.57%        0.60%        0.60%  

For such services, BTT pays the Manager a monthly fee at an annual rate equal to 0.40% of the average daily value of the Trust’s managed assets.

For purposes of calculating these fees, “managed assets” mean the total assets of a Trust minus the sum of its accrued liabilities (other than the aggregate indebtedness constituting financial leverage).

Waivers: The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Trust pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”). These amounts are included in fees waived by the Manager in the Statements of Operations. The amount of waivers and/or reimbursements of fees and expenses made pursuant to the expense limitation caps, as applicable, will be reduced by the amount of the affiliated money market fund waiver. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with each Trust’s investments in other affiliated investment companies, if any. For the six months ended January 31, 2017, the amounts waived were as follows:

 

     BFZ      BFO      BTT      BBF      BNJ      BNY  

Amounts waived

  $ 661      $ 228      $ 17,255      $ 219      $ 470      $ 1,372  

Effective September 1, 2016, the Manager voluntarily agreed to waive its investment advisory fee with respect to any portion of Trusts’ assets invested in affiliated equity or fixed-income mutual funds or affiliated exchange-traded funds that have a contractual management fee. Prior to September 1, 2016, the Manager did not waive such fees. On December 2, 2016, Manager entered into a Master Advisory Fee Agreement (“Agreement”), contractually committing to this arrangement through June 30, 2017. The Agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Trusts’ Independent Trustees.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    69


Notes to Financial Statements (continued)     

 

Officers and Trustees: Certain officers and/or Trustees of the Trusts are officers and/or directors of BlackRock or its affiliates. The Trusts reimburse the Manager for a portion of the compensation paid to the Trusts’ Chief Compliance Officer, which is included in Officer and Trustees in the Statements of Operations.

7. Purchases and Sales:

For the six months ended January 31, 2017, purchases and sales of investments excluding short-term securities, were as follows:

 

     BFZ      BFO      BTT      BBF      BNJ      BNY  

Purchases

  $ 196,672,193             $ 538,650,094      $ 55,839,013      $ 7,623,959      $ 26,638,273  

Sales

  $ 197,996,541      $ 428,125      $ 541,593,756      $ 53,159,292      $ 6,790,241      $ 23,968,571  

8. Income Tax Information

It is the Trusts’ policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of their taxable income to their shareholders. Therefore, no federal income tax provision is required.

Each Trust files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Trust’s U.S. federal tax returns generally remains open for each of the four years ended July 31, 2016. The statutes of limitations on each Trust’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Trusts as of January 31, 2017, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Trusts’ financial statements.

As of July 31, 2016, the Trusts had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Expires July 31,   BFZ      BFO      BTT      BBF      BNJ      BNY  

No expiration date1

         $ 807,377      $ 40,292,789      $ 5,264,870      $ 2,051,379      $ 5,902,450  

2017

           389,104               150,549               2,408,109  

2018

  $ 3,104,212        62,100               6,927,043        842,367        1,480,575  

2019

                         651,464        27,464        1,982,931  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

  $ 3,104,212      $ 1,258,581      $ 40,292,789      $ 12,993,926      $ 2,921,210      $ 11,774,065  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  1   

Must be utilized prior to losses subject to expiration.

As of January 31, 2017, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

     BFZ      BFO      BTT      BBF      BNJ      BNY  

Tax cost

  $ 610,581,204      $ 81,079,798      $ 2,395,586,928      $ 182,242,660      $ 165,671,153      $ 266,011,979  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Gross unrealized appreciation

  $ 42,351,322      $ 2,947,245      $ 37,078,877      $ 17,956,838      $ 10,041,772      $ 17,718,992  

Gross unrealized depreciation

    (7,134,403      (879,890      (66,542,121      (1,221,720      (3,064,642      (2,181,458
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net unrealized appreciation (depreciation)

  $ 35,216,919      $ 2,067,355      $ (29,463,244    $ 16,735,118      $ 6,977,130      $ 15,537,534  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

9. Principal Risks:

Many municipalities insure repayment of their bonds, which may reduce the potential for loss due to credit risk. The market value of these bonds may fluctuate for other reasons, including market perception of the value of such insurance, and there is no guarantee that the insurer will meet its obligation.

Inventories of municipal bonds held by brokers and dealers may decrease, which would lessen their ability to make a market in these securities. Such a reduction in market making capacity could potentially decrease a Trust’s ability to buy or sell bonds. As a result, a Trust may sell a security at a lower price, sell other securities to raise cash, or give up an investment opportunity, any of which could have a negative impact on performance. If a Trust needed to sell large blocks of bonds, those sales could further reduce the bonds’ prices and impact performance.

In the normal course of business, certain Trusts invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the Trusts may decline in response to certain events, including those directly involving the issuers of securities owned by the Trusts. Changes arising from the general economy, the overall market and local, regional or global political and/or social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value.

Each Trust may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Trust to reinvest in lower yielding securities. Each Trust may also be exposed to reinvestment risk, which is the risk that income from each Trust’s portfolio will decline if each Trust invests the proceeds from matured, traded or called fixed income securities at market interest rates that are below each Trust portfolio’s current earnings rate.

 

                
70    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


Notes to Financial Statements (continued)     

 

The Trusts may hold a significant amount of bonds subject to calls by the issuers at defined dates and prices. When bonds are called by issuers and the Trusts reinvest the proceeds received, such investments may be in securities with lower yields than the bonds originally held, and correspondingly, could adversely impact the yield and total return performance of a Trust.

There is no assurance that BFO will achieve its investment objective and BFO may return less than $15.00 per share. As BFO approaches its scheduled termination date, it is expected that the maturity of BFO’s portfolio securities will shorten, which is likely to reduce BFO’s income and distributions to shareholders.

It is possible that regulators could take positions that could limit the market for non-bank sponsored TOB Trust transactions or the Trusts’ ability to hold TOB Residuals. Under the new TOB Trust structure, the Trusts will have certain additional duties and responsibilities, which may give rise to certain additional risks including, but not limited to, compliance, securities law and operational risks.

There can be no assurance that the Trusts can successfully enter into restructured TOB Trust transactions in order to refinance their existing TOB Residuals holdings prior to the compliance date for the Volcker Rule, which may require that the Trusts unwind existing TOB Trusts. There can be no assurance that alternative forms of leverage will be available to the Trusts and any alternative forms of leverage may be more or less advantageous to the Trusts than existing TOB leverage.

Should short-term interest rates rise, the Trusts’ investments in TOB Trust transactions may adversely affect the Trusts’ net investment income and dividends to Common Shareholders. Also, fluctuations in the market value of municipal bonds deposited into the TOB Trust may adversely affect the Trusts’ NAVs per share.

The SEC and various federal banking and housing agencies have adopted credit risk retention rules for securitizations (the “Risk Retention Rules”), which took effect in December 2016. The Risk Retention Rules would require the sponsor of a TOB Trust to retain at least 5% of the credit risk of the underlying assets supporting the TOB Trust’s municipal bonds. The Risk Retention Rules may adversely affect the Trusts’ ability to engage in TOB Trust transactions or increase the costs of such transactions in certain circumstances.

TOB Trust transactions constitute an important component of the municipal bond market. Accordingly, implementation of the Volcker Rule and Risk Retention Rules may adversely impact the municipal market, including through reduced demand for and liquidity of municipal bonds and increased financing costs for municipal issuers. Any such developments could adversely affect the Trusts. The ultimate impact of these rules on the TOB Trust market and the overall municipal market is not yet certain.

Counterparty Credit Risk: Similar to issuer credit risk, the Trusts may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Trusts manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Trusts to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Trusts’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Trusts.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

With exchange-traded futures, there is less counterparty credit risk to the Trusts since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Trust does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency).

Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Trusts.

Concentration Risk: BFZ, BFO and BNJ invest a substantial amount of their assets in issuers located in a single state or limited number of states. This may subject each Trust to the risk that economic, political or social issues impacting a particular state or group of states could have an adverse and disproportionate impact on the income from, or the value or liquidity of, the Trusts’ respective portfolios. Investment percentages in specific states or U.S. territories are presented in the Schedules of Investments.

As of period end, BFZ and BFO invested a significant portion of their assets in securities in the county, city, special district and school district sector. BNJ invested a significant portion of its assets in securities in the transportation sector. Changes in economic conditions affecting such sectors would have a greater impact on the Trusts and could affect the value, income and/or liquidity of positions in such securities.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    71


Notes to Financial Statements (continued)     

 

The Trusts invest a significant portion of their assets in fixed income securities and/or use derivatives tied to the fixed income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed income securities will increase as interest rates fall and decrease as interest rates rise. The Trusts may be subject to a greater risk of rising interest rates due to the current period of historically low rates.

10. Capital Share Transactions:

Each Trust is authorized to issue an unlimited numbers of shares, all of which were initially classified as Common Shares. The par value for each Trust’s Common Shares is $0.001. The par value for each Trust’s Preferred Shares outstanding is $0.001. The Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without approval of Common Shareholders.

Common Shares

For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:

 

     BFZ      BBF      BNJ      BNY  

Six Months Ended January 31, 2017

    10,394        4,081        2,429        11,272  

Year Ended July 31, 2016

    18,396        2,331        4,172        33,994  

For the six months ended January 31, 2017 and the year ended July 31, 2016, shares issued and outstanding remained constant for BFO and BTT.

Preferred Shares

Each Trust’s Preferred Shares rank prior to the Trusts’ Common Shares as to the payment of dividends by the Trusts and distribution of assets upon dissolution or liquidation of a Trust. The 1940 Act prohibits the declaration of any dividend on a Trust’s Common Shares or the repurchase of a Trust’s Common Shares if a Trust fails to maintain asset coverage of at least 200% of the liquidation preference of the Trusts’ outstanding Preferred Shares. In addition, pursuant to the Preferred Shares’ governing instruments, a Trust is restricted from declaring and paying dividends on classes of shares ranking junior to or on parity with the Trusts’ Preferred Shares or repurchasing such shares if a Trust fails to declare and pay dividends on the Preferred Shares, redeem any Preferred Shares required to be redeemed under the Preferred Shares’ governing instruments or comply with the basic maintenance amount requirement of the ratings agencies rating the Preferred Shares.

The holders of Preferred Shares have voting rights equal to the voting rights of the holders of Common Shares (one vote per share) and will vote together with holders of Common Shares (one vote per share) as a single class on certain matters. However, the holders of Preferred Shares, voting as a separate class, are also entitled to elect two Trustees to the Board of each Trust. The holders of Preferred Shares are also entitled to elect the full Board of Trustees if dividends on the Preferred Shares are not paid for a period of two years. The holders of Preferred Shares are also generally entitled to a separate class vote to amend the Preferred Share governing documents. In addition, the 1940 Act requires the approval of the holders of a majority of any outstanding Preferred Shares, voting as a separate class, to (a) adopt any plan of reorganization that would adversely affect the Preferred Shares, (b) change a Trust’s sub-classification as a closed-end investment company or change its fundamental investment restrictions or (c) change its business so as to cease to be an investment company.

VRDP Shares

BBF has issued Series W-7 VRDP Shares, $100,000 liquidation preference per share, in a privately negotiated offering. The VRDP Shares were offered to qualified institutional buyers as defined pursuant to Rule 144A under the Securities Act of 1933, as amended, (the “Securities Act”). The VRDP Shares include a liquidity feature are currently in a special rate period, each as described below.

As of period end, the VRDP Shares outstanding of BBF were as follows:

 

     Issue Date      Shares Issued      Aggregate Principal      Maturity Date  

BBF

    9/15/11        342      $ 34,200,000        10/01/41  
      5/16/16        178      $ 17,800,000        10/01/41  

Redemption Terms: BBF is required to redeem its VRDP Shares on the maturity date, unless earlier redeemed or repurchased. Six months prior to the maturity date, BBF is required to begin to segregate liquid assets with the Trust’s custodian to fund the redemption. In addition, BBF is required to redeem certain of its outstanding VRDP Shares if it fails to comply with certain asset coverage, basic maintenance amount or leverage requirements.

Subject to certain conditions, the VRDP Shares may also be redeemed, in whole or in part, at any time at the option of BBF. The redemption price per VRDP Share is equal to the liquidation preference per share plus any outstanding unpaid dividends. In the event of an optional redemption of the VRDP Shares during the period commencing on the date of issuance and ending on the initial termination date of the fee agreement, BBF must pay the liquidity provider fees on such redeemed VRDP Shares for the remaining term of the fee agreement up to such initial termination date.

Liquidity Feature: BBF entered into a fee agreement with the liquidity provider that requires a per annum liquidity fee payable to the liquidity provider. These fees, if applicable, are shown as liquidity fees in the Statements of Operations.

 

                
72    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


Notes to Financial Statements (continued)     

 

The fee agreement between the BBF and the liquidity provider are for a 364 day term was scheduled to expire on December 4, 2015. BBF renewed the fee agreement for a 364 day term which is scheduled to expire on October 22, 2018 unless renewed or terminated in advance.

In the event the fee agreement is not renewed or is terminated in advance, and BBF does not enter into a fee agreement with an alternate liquidity provider, the VRDP Shares will be subject to mandatory purchase by the liquidity provider prior to the termination of the fee agreement. In the event of such mandatory purchase, BBF is required to redeem the VRDP Shares six months after the purchase date. Immediately after such mandatory purchase, BBF is required to begin to segregate liquid assets with its custodian to fund the redemption. There is no assurance BBF will replace such redeemed VRDP Shares with any other preferred shares or other form of leverage.

Remarketing: BBF may incur remarketing fees of 0.10% on the aggregate principal amount of all the Trust’s VRDP Shares, which, if any, are included in remarketing fees on Preferred Shares in the Statements of Operations. During any special rate period (as described below), BBF may incur no remarketing fees.

Dividends: Dividends on the VRDP Shares are payable monthly at a variable rate set weekly by the remarketing agent. Such dividend rates are generally based upon a spread over a base rate and cannot exceed a maximum rate. In the event of a failed remarketing, the dividend rate of the VRDP Shares will be reset to a maximum rate. The maximum rate is determined based on, among other things, the long-term preferred share rating assigned to the VRDP Shares and the length of time that the VRDP Shares fail to be remarketed. At the date of issuance, the VRDP Shares were assigned long-term ratings of Aaa from Moody’s and AAA from Fitch. Subsequent to the issuance of the VRDP Shares, Moody’s completed a review of its methodology for rating securities issued by registered closed-end funds. As of period end, the VRDP Shares were assigned a long-term rating of Aa1 from Moody’s under its new ratings methodology. The VRDP Shares continue to be assigned a long-term rating of AAA from Fitch.

For the six months ended January 31, 2017, the annualized dividend rate for BBF’s VRDP Shares was 1.54%.

Ratings: The short-term ratings on the VRDP Shares are directly related to the short-term ratings of the liquidity provider for such VRDP Shares. Changes in the credit quality of the liquidity provider could cause a change in the short-term credit ratings of the VRDP Shares as rated by Moody’s, Fitch and/or S&P. A change in the short-term credit rating of the liquidity provider or the VRDP Shares may adversely affect the dividend rate paid on such shares, although the dividend rate paid on the VRDP Shares is not directly based upon either short-term rating. The liquidity provider may be terminated prior to the scheduled termination date if the liquidity provider fails to maintain short-term debt ratings in one of the two highest rating categories.

Special Rate Period: On October 22, 2015, BBF commenced a three-year term ending April 18, 2018 (the “special rate period”), with respect to the VRDP Shares. The implementation of the special rate period resulted in a mandatory tender of the VRDP Shares prior to the commencement of the special rate period. The mandatory tender event was not the result of a failed remarketing. The short-term ratings on the VRDP Shares for BBF were withdrawn by Moody’s, Fitch and/or S&P at the commencement of the special rate period. Prior to April 18, 2018, the holder of the VRDP Shares and BBF may mutually agree to extend the special rate period. If the special rate period is not extended, the VRDP Shares will revert to remarketable securities upon the termination of the special rate period and will be remarketed and available for purchase by qualified institutional investors.

During the special rate period, the liquidity and fee agreements remain in effect and the VRDP Shares remain subject to mandatory redemption by BBF on the maturity date. The VRDP Shares will not be remarketed or subject to optional or mandatory tender events during the special rate period. During the special rate period, BBF is required to comply with the same asset coverage, basic maintenance amount and leverage requirements for the VRDP Shares as is required when the VRDP Shares are not in a special rate period. BBF will not pay any fees to the liquidity provider and remarketing agent during the special rate period. BBF will pay dividends monthly based on the sum of the Securities Industry and Financial Markets Association (“SIFMA”) Municipal Swap Index rate and a percentage per annum based on the long-term ratings assigned to the VRDP Shares.

If BBF redeems the VRDP Shares prior to the end of the special rate period and the VRDP Shares have long-term ratings above A1/A+ and its equivalent by all ratings agencies then rating the VRDP Shares, then such redemption may be subject to a redemption premium payable to the holder of the VRDP Shares based on the time remaining in the special rate period, subject to certain exceptions for redemptions that are required to comply with minimum asset coverage requirements.

For the six months ended January 31, 2017, VRDP Shares issued and outstanding of BBF remained constant.

VMTP Shares

BFZ, BNJ and BNY (collectively, the “VMTP Trusts”), have issued Series W-7 VMTP Shares, $100,000 liquidation preference per share, in a privately negotiated offerings and sale of VMTP Shares exempt from registration under the Securities Act. The VMTP Shares are subject to certain restrictions on transfer, and VMTP Trusts may also be required to register the VMTP Shares for sale under the Securities Act under certain circumstances. In addition, amendments to the VMTP governing documents generally require the consent of the holders of VMTP Shares.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    73


Notes to Financial Statements (continued)     

 

As of period end, the VMTP Shares outstanding of each Trust were as follows:

 

    

Issue

Date

    

Shares

Issued

    

Aggregate

Principal

    

Term

Redemption Date

 

BFZ

    3/22/12        1,713      $ 171,300,000        3/30/19  

BNJ

    3/22/12        591      $ 59,100,000        3/30/19  

BNY

    3/22/12        945      $ 94,500,000        3/30/19  

Redemption Terms: Each VMTP Trust is required to redeem its VMTP Shares on the term redemption date, unless earlier redeemed or repurchased or unless extended. There is no assurance that the term of a Trust’s VMTP Shares will be extended further or that a Trust’s VMTP Shares will be replaced with any other preferred shares or other form of leverage upon the redemption or repurchase of the VMTP Shares. Six months prior to the term redemption date, each VMTP Trust is required to begin to segregate liquid assets with the Trust’s custodian to fund the redemption. In addition, each VMTP Trust is required to redeem certain of its outstanding VMTP Shares if it fails to comply with certain asset coverage, basic maintenance amount or leverage requirements.

Subject to certain conditions, a Trust’s VMTP Shares may be redeemed, in whole or in part, at any time at the option of the Trust. The redemption price per VMTP Share is equal to the liquidation preference per share plus any outstanding unpaid dividends and applicable redemption premium. If Trusts redeem the VMTP Shares prior to the term redemption date and the VMTP Shares have long-term ratings above A1/A+ or its equivalent by the ratings agencies then rating the VMTP Shares, then such redemption may be subject to a prescribed redemption premium (up to 3% of the liquidation preference) payable to the holder of the VMTP Shares based on the time remaining until the term redemption date, subject to certain exceptions for redemptions that are required to comply with minimum asset coverage requirements.

Dividends: Dividends on the VMTP Shares are declared daily and payable monthly at a variable rate set weekly at a fixed rate spread to the SIFMA Municipal Swap Index. The fixed spread is determined based on the long-term preferred share rating assigned to the VMTP Shares by the ratings agencies then rating the VMTP Shares. At the date of issuance, the VMTP Shares were assigned long-term ratings of Aaa from Moody’s and AAA from Fitch. Subsequent to the issuance of the VMTP Shares, Moody’s completed a review of its methodology for rating securities issued by registered closed-end funds. As of period end, the VMTP Shares were assigned a long-term rating of Aa2 from Moody’s under its new rating methodology. The VMTP Shares continue to be assigned a long-term rating of AAA from Fitch. The dividend rate on the VMTP Shares is subject to a step-up spread if the Trusts fail to comply with certain provisions, including, among other things, the timely payment of dividends, redemptions or gross-up payments, and complying with certain asset coverage and leverage requirements.

For the six months ended January 31, 2017, the average annualized dividend rates for the VMTP Shares were as follows:

 

     BFZ      BNJ      BNY  

Rate

    1.56%        1.56%        1.56%  

For the six months ended January 31, 2017, VMTP Shares issued and outstanding of BFZ, BNJ and BNY remained constant.

RVMTP Shares

BTT has issued Series W-7 RVMTP Shares, $5,000,000 liquidation preference per share, in a privately negotiated offering and sale of RVMTP Shares exempt from registration under the Securities Act. The RVMTP Shares are subject to certain restrictions on transfer outside of a remarketing. Amendments to the RVMTP governing documents generally require the consent of the holders of RVMTP Shares.

As of period end, the RVMTP Shares outstanding of BTT were as follows:

 

     Issue Date     Shares Issued     Aggregate Principal     Maturity Date  

BTT

    1/10/13       50     $ 250,000,000       12/31/30  
    1/30/13       50     $ 250,000,000       12/31/30  
      2/20/13       50     $ 250,000,000       12/31/30  

Redemption Terms: BTT is required to redeem its RVMTP Shares on the term redemption date or within six months of an unsuccessful remarketing, unless earlier redeemed or repurchased. There is no assurance that BTT’s RVMTP Shares will be replaced with any other preferred shares or other form of leverage upon the redemption or repurchase of the RVMTP Shares. In addition, BTT is required to redeem certain of its outstanding RVMTP Shares if it fails to comply with certain asset coverage, basic maintenance amount or leverage requirements.

Subject to certain conditions, BTT’s RVMTP Shares may be redeemed, in whole or in part, at any time at the option of BTT. The redemption price per RVMTP Share is equal to the liquidation preference per share plus any outstanding unpaid dividends. The RVMTP Shares are subject to certain restrictions on transfer outside of a remarketing. The RVMTP Shares are subject to remarketing upon 90 days’ notice by holders of the RVMTP Shares and 30 days’ notice by BTT. Each remarketing must be at least six months apart from the last remarketing. A holder of RVMTP Shares may submit notice of remarketing only if such holder requests a remarketing of at least the lesser of (i) $100,000,000 of RVMTP Shares or (ii) all of the RVMTP Shares held by such holder.

Dividends: Dividends on the RVMTP Shares are declared daily and payable monthly at a variable rate set weekly at a fixed rate spread to the SIFMA Municipal Swap Index. The initial fixed rate spread was agreed upon by the initial purchaser and BTT on the initial date of issuance for the RVMTP Shares.

 

                
74    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


Notes to Financial Statements (concluded)     

 

The initial fixed rate spread may be adjusted at each remarketing or upon the agreement of BTT and all of the holders of the RVMTP Shares. In the event that all of the RVMTP Shares submitted for remarketing are not successfully remarketed, a failed remarketing would occur, and all holders would retain their RVMTP Shares. In the event of a failed remarketing, the fixed rate spread would be set at the fixed rate spread applicable to such failed remarketing. BTT has the right to reject any fixed spread determined at a remarketing, and such rejection would result in a failed remarketing and the fixed rate spread would be set at the fixed rate spread applicable to such failed remarketing. The fixed rate spread applicable due to a failed remarketing depends on whether the remarketing was pursuant to a mandatory or non-mandatory tender. In the case of a failed remarketing following a mandatory tender, the failed remarketing spread would be the sum of the last applicable spread in effect immediately prior to the failed remarketing date for such failed remarketing plus 0.75%. In the case of a failed remarketing not associated with a mandatory tender, the failed remarketing spread would be the sum of the last applicable spread in effect immediately prior to the failed remarketing date for such failed remarketing plus 0.25%.

For the six months ended January 31, 2017, the average annualized dividend rate for the BTT’s RVMTP Shares was 1.29%.

Remarketing: In the event of a failed remarketing that is not subsequently cured, BTT will be required to redeem the RVMTP Shares subject to such failed remarketing on a date that is approximately six months from the remarketing date for such failed remarketing, provided that no redemption of any RVMTP Share may occur within one year of the date of issuance of such RVMTP Share. At the date of issuance and as of period end, the RVMTP Shares were assigned long-term ratings of Aa1 from Moody’s and AAA from Fitch. The dividend rate on the RVMTP Shares is subject to a step-up spread if BTT fails to comply with certain provisions, including, among other things, the timely payment of dividends, redemptions or gross-up payments, and complying with certain asset coverage and leverage requirements.

During the six months ended January 31, 2017, no RVMTP Shares were tendered for remarketing.

For the six months ended January 31, 2017, RVMTP Shares issued and outstanding of BTT remained constant.

Offering Costs: The Trusts incurred costs in connection with the issuance of VRDP, VMTP and RVMTP Shares, which were recorded as a direct deduction from the carrying value of the related debt liability and will be amortized over the life of the VRDP, VMTP and RVMTP Shares with the exception of upfront fees paid to the liquidity provider which were amortized over the life of the liquidity agreement. Amortization of these costs is included in interest expense, fees and amortization of offering costs in the Statements of Operations.

Financial Reporting: The VRDP, VMTP and RVMTP Shares are considered debt of the issuer; therefore, the liquidation preference, which approximates fair value of the VRDP, VMTP and RVMTP Shares, is recorded as a liability in the Statements of Assets and Liabilities net of deferred offering costs. Unpaid dividends are included in interest expense and fees payable in the Statements of Assets and Liabilities, and the dividends accrued and paid on the VRDP, VMTP and RVMTP Shares are included as a component of interest expense, fees and amortization of offering costs in the Statements of Operations. The VRDP, VMTP and RVMTP Shares are treated as equity for tax purposes. Dividends paid to holders of the VRDP, VMTP and RVMTP Shares are generally classified as tax-exempt income for tax-reporting purposes.

11. Subsequent Events:

Management’s evaluation of the impact of all subsequent events on the Trusts’ financial statements was completed through the date the financial statements were issued and the following items were noted:

 

     Common Dividend Per Share            Preferred Shares3  
     Paid1     Declared2            Shares     Series     Declared  

BFZ

  $ 0.067200     $ 0.059500         VMTP       W-7     $ 206,710  

BFO

  $ 0.031000     $ 0.031000         N/A       N/A       N/A  

BTT

  $ 0.080000     $ 0.080000         RVMTP       W-7     $ 749,222  

BBF

  $ 0.072375     $ 0.072375         VRDP       W-7     $ 61,949  

BNJ

  $ 0.069600     $ 0.069600         VMTP       W-7     $ 72,416  

BNY

  $ 0.060000     $ 0.060000               VMTP       W-7     $ 114,034  

 

  1  

Net investment income dividend paid on March 1, 2017 to Common Shareholders of record on February 15, 2017.

 

  2  

Net investment income dividend declared on March 1, 2017, payable to Common Shareholders of record on March 15, 2017.

 

  3  

Dividends declared for period February 1, 2017 to February 28, 2017.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    75


Officers and Trustees     

 

Richard E. Cavanagh, Chair of the Board and Trustee

Karen P. Robards, Vice Chair of the Board and Trustee

Michael J. Castellano, Trustee

Cynthia L. Egan, Trustee

Frank J. Fabozzi, Trustee

Jerrold B. Harris, Trustee

R. Glenn Hubbard, Trustee

W. Carl Kester, Trustee

Catherine A. Lynch, Trustee

Barbara G. Novick, Trustee

John M. Perlowski, Trustee, President and Chief Executive Officer

Jonathan Diorio, Vice President

Neal J. Andrews, Chief Financial Officer

Jay M. Fife, Treasurer

Charles Park, Chief Compliance Officer

Janey Ahn, Secretary

 

       
Investment Adviser BlackRock Advisors, LLC Wilmington, DE 19809  

Transfer Agent

Computershare Trust Company, N.A.

Canton, MA 02021

 

VRDP Liquidity Provider

Barclays Bank PLC

New York, NY 10019

  Independent Registered Public Accounting Firm Deloitte & Touche LLP Boston, MA 02116

Accounting Agent and Custodian

State Street Bank and Trust Company

Boston, MA 02110

 

VRDP Tender and Paying Agent, RVMTP Tender and Paying Agent and VMTP Redemption and Paying Agent

The Bank of New York Mellon

New York, NY 10289

 

VRDP Remarketing Agent

Barclays Capital, Inc.

New York, NY 10019

 

 

Legal Counsel

Skadden, Arps, Slate, Meagher & Flom LLP

Boston, MA 02116

 

Address of the Trusts

100 Bellevue Parkway

Wilmington, DE 19809

 

                
76    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


Additional Information     

 

Trust Certification      

Certain Trusts are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Trusts filed with the SEC the certification of its chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

 

Dividend Policy

Each Trust’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of distributions, the Trusts may at times pay out less than the entire amount of net investment income earned in any particular month and may at times in any particular month pay out such accumulated but undistributed income in addition to net investment income earned in that month. As a result, the distributions paid by the Trusts for any particular month may be more or less than the amount of net investment income earned by the Trusts during such month. The Trusts’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

 

General Information

The Trusts do not make available copies of their Statements of Additional Information because the Trusts’ shares are not continuously offered, which means that the Statement of Additional Information of each Trust has not been updated after completion of the respective Trust’s offerings and the information contained in each Trust’s Statement of Additional Information may have become outdated.

During the period, there were no material changes in the Trusts’ investment objectives or policies or to the Trusts’ charters or by-laws that would delay or prevent a change of control of the Trusts that were not approved by the shareholders or in the principal risk factors associated with investment in the Trusts. Except as disclosed on page 79, there have been no changes in the persons who are primarily responsible for the day-to-day management of the Trusts’ portfolios.

Effective September 26, 2016, BlackRock implemented a new methodology for calculating “effective duration” for BlackRock’s municipal bond portfolios. The new methodology replaces the model previously used by BlackRock to evaluate municipal bond duration, and is a common indicator of an investment’s sensitivity to interest rate movements. The new methodology is applied to each Trust’s duration reported for periods after September 26, 2016.

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Trusts may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

Electronic Delivery

Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports by enrolling in the electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.

To enroll in electronic delivery:

Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:

Please contact your financial advisor. Please note that not all investment advisers, banks or brokerages may offer this service.

Householding

The Trusts will mail only one copy of shareholder documents, annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Trusts at (800) 882-0052.

 

                
   SEMI-ANNUAL REPORT    JANUARY 31, 2017    77


Additional Information (concluded)     

 

 

General Information (concluded)

Availability of Quarterly Schedule of Investments

The Trusts file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trusts’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room or how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Trusts’ Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Trusts use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 882-0052; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Trusts voted proxies relating to securities held in the Trusts’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com; or by calling (800) 882-0052; and (2) on the SEC’s website at http://www.sec.gov.

Availability of Trust Updates

BlackRock will update performance and certain other data for the Trusts on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Trusts. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Trusts and does not, and is not intended to, incorporate BlackRock’s website in this report.

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

 

                
78    SEMI-ANNUAL REPORT    JANUARY 31, 2017   


This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Trusts have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

 

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Item 2 – Code of Ethics – Not Applicable to this semi-annual report

 

Item 3 – Audit Committee Financial Expert – Not Applicable to this semi-annual report

 

Item 4 – Principal Accountant Fees and Services – Not Applicable to this semi-annual report

 

Item 5 – Audit Committee of Listed Registrants – Not Applicable to this semi-annual report

 

Item 6 – Investments

(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

 

Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report

 

Item 8 – Portfolio Managers of Closed-End Management Investment Companies

 

  (a) Not Applicable to this semi-annual report.

 

  (b) As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.

 

Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable

 

Item 10 –  Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

 

Item 11 –  Controls and Procedures

(a) – The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

(b) – There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 12 –  Exhibits attached hereto

(a)(1) – Code of Ethics – Not Applicable to this semi-annual report

(a)(2) – Certifications – Attached hereto

(a)(3) – Not Applicable

(b) – Certifications – Attached hereto

 

2


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

BlackRock California Municipal Income Trust
By:       /s/ John M. Perlowski                        
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock California Municipal Income Trust

Date: April 5, 2017

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:       /s/ John M. Perlowski                        
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of
  BlackRock California Municipal Income Trust

Date: April 5, 2017

 

By:       /s/ Neal J. Andrews                                
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock California Municipal Income Trust

Date: April 5, 2017

 

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